MONEY SUPPLY VOLATILITY AND THE MACROECONOMY

Apostolos Serletis and Libo Xu

Macroeconomic Dynamics, 2020, vol. 24, issue 6, 1392-1402

Abstract: This paper extends the ongoing literature on the macroeconomic effects of money supply volatility. We use monthly data for the USA and a bivariate, Markov switching, structural vector error correction model that is modified to accommodate generalized autoregressive conditional heteroscedasticity-in-mean errors to isolate the effects of money growth volatility on output growth. The model allows us to study how monetary uncertainty affects economic growth across different macroeconomic regimes.

Date: 2020
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Working Paper: Money Supply Volatility and the Macroeconomy (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:24:y:2020:i:6:p:1392-1402_3

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