Testing the Friedman-Schwartz Hypothesis Using Time Varying Correlation

Taniya Ghosh and Prashant Mehul Parab

Working Papers from eSocialSciences

Abstract: This study analyses the time varying correlation of money and output using the DCC GARCH model for the Euro, India, Poland, the UK and the US. Apart from simple sum money, this model uses Divisia monetary aggregate, which is theoretically shown as the actual measure of monetary services. The inclusion of Divisia money affirms the Friedman-Schwartz hypothesis that money is procyclical. The procyclical nature of association was not robustly observed in recent data when simple sum money was used.

Keywords: eSS; DCC GARCH; Divisia; Monetary Aggregates; Real Output; correlation of money; monetary services; Friedman-Schwartz hypothesis; procyclical. (search for similar items in EconPapers)
Date: 2019-01
Note: Institutional Papers
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.esocialsciences.org/Download/repecDownl ... AId=12986&fref=repec

Related works:
Working Paper: Testing the Friedman-Schwartz hypothesis using time varying correlation (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ess:wpaper:id:12986

Access Statistics for this paper

More papers in Working Papers from eSocialSciences
Bibliographic data for series maintained by Padma Prakash ().