Money Supply Volatility and the Macroeconomy

Apostolos Serletis and Libo Xu

No 2018-16, Working Papers from Department of Economics, University of Calgary

Abstract: This paper extends the ongoing literature on the macroeconomic effects of money supply volatility. We use monthly data for the United States and a bivariate, Markov switching, structural vector error correction (VEC) model that is modified to accommodate GARCH-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.

Keywords: CFS Divisia monetary aggregates; Markov regime-switching; Money growth volatility (search for similar items in EconPapers)
JEL-codes: C32 E44 E52 (search for similar items in EconPapers)
Date: 2018-11-05
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Citations: View citations in EconPapers (2)

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Journal Article: MONEY SUPPLY VOLATILITY AND THE MACROECONOMY (2020)
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