Detecting signatures of stochastic self-organization in US money and velocity measures

Apostolos Serletis and Olga Y. Uritskaya

Physica A: Statistical Mechanics and its Applications, 2007, vol. 385, issue 1, 281-291

Abstract: In this paper, we continue the research by Serletis [Random walks, breaking trend functions, and the chaotic structure of the velocity of money, J. Bus. Econ. Stat. 13 (1995) 453–458] and Serletis and Shintani [Chaotic monetary dynamics with confidence, J. Macroeconomics 28 (2006) 228–252] by applying the method of detrended fluctuation analysis (DFA)—introduced by Peng et al. [Mosaic organization of DNA nucleotides, Phys. Rev. E 49 (1994) 1685–1689] and adapted to the analysis of long-range correlations in economic data by Uritskaya [Forecasting of magnitude and duration of currency crises based on analysis of distortions of fractal scaling in exchange rate fluctuations, Noise and fluctuations in econophysics and finance, Proc. SPIE 5848 (2005) 17–26; Fractal methods for modeling and forecasting of currency crises, in: Proceedings of the fourth International Conference on Modeling and Analysis of Safety and Risk in Complex Systems, SPbSU Press, St.Petersburg, 2005, pp. 210–215]—to investigate the dynamical structure of United States money and velocity measures. We use monthly data over the time period from 1959:1 to 2006:2, at each of the four levels of monetary aggregation, M1, M2, M3, and MZM, making comparisons among simple-sum, Divisia, and currency equivalent (CE) methods of aggregation. The results suggest that the sum and Divisia monetary aggregates are more appropriate for measuring long-term tendencies in money supply dynamics while the CE aggregates are more sensitive measures of short-term processes in the economy.

Keywords: Power laws; Fractal analysis; Monetary aggregation; Divisia monetary aggregates (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:385:y:2007:i:1:p:281-291

DOI: 10.1016/j.physa.2007.06.039

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