EconPapers    
Economics at your fingertips  
 

Testing the Friedman-Schwartz hypothesis using time varying correlation

Taniya Ghosh () and Prashant Mehul Parab ()
Additional contact information
Prashant Mehul Parab: Indira Gandhi Institute of Development Research

Indira Gandhi Institute of Development Research, Mumbai Working Papers from Indira Gandhi Institute of Development Research, Mumbai, India

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: DCC GARCH; Divisia; Monetary Aggregates; Real Output (search for similar items in EconPapers)
JEL-codes: C32 E52 E51 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2019-01
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.igidr.ac.in/pdf/publication/WP-2019-001.pdf (application/pdf)

Related works:
Working Paper: Testing the Friedman-Schwartz Hypothesis Using Time Varying Correlation (2019) Downloads
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:ind:igiwpp:2019-001

Access Statistics for this paper

More papers in Indira Gandhi Institute of Development Research, Mumbai Working Papers from Indira Gandhi Institute of Development Research, Mumbai, India Contact information at EDIRC.
Bibliographic data for series maintained by Shamprasad M. Pujar ().

 
Page updated 2020-01-27
Handle: RePEc:ind:igiwpp:2019-001