Money, Velocity, and the Stock Market
Karl Pinno and
Apostolos Serletis
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Karl Pinno: University of British Columbia
Open Economies Review, 2016, vol. 27, issue 4, No 3, 695 pages
Abstract:
Abstract This paper provides a study of the relationship between money growth variability, velocity, and the stock market, using recent advances in financial econometrics. We estimate a trivariate VARMA, GARCH-in-Mean, BEKK model to quantify the effects of financial market and money supply instability. We investigate the robustness of the results to different definitions of money using monthly Divisia indices for the United States from the Center for Financial Stability (CFS). Empirical evidence supports significance of financial market and money supply volatility, and we conclude that Friedman’s money supply volatility hypothesis is alive and well.
Keywords: Multivariate GARCH; Variability of money growth; Divisia monetary aggregates (search for similar items in EconPapers)
JEL-codes: E44 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:kap:openec:v:27:y:2016:i:4:d:10.1007_s11079-016-9400-5
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DOI: 10.1007/s11079-016-9400-5
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