Economics at your fingertips  

Testing the Friedman and Schwartz Hypothesis using Time Varying Correlation Analysis

Taniya Ghosh () and Prashant Mehul Parab

MPRA Paper from University Library of Munich, Germany

Abstract: The study analyses the time varying correlation of money and output using DCC GARCH model for Euro, India, Poland, the UK and the USA. In addition to simple sum money, the model uses Divisia monetary aggregate, theoretically shown as the actual measure of money. The inclusion of Divisia money restores the Friedman and Schwartz hypothesis that money is procyclical. Such procyclical nature of association was not robustly observed in the recent data when simple sum money was used.

Keywords: DCC GARCH; Divisia; Monetary Aggregates; Real Output (search for similar items in EconPapers)
JEL-codes: E3 E4 (search for similar items in EconPapers)
Date: 2018-11-22
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) original version (application/pdf)

Related works:
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:

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

Page updated 2021-05-08
Handle: RePEc:pra:mprapa:90628