Money Supply Volatility and the Macroeconomy

Forthcoming in: Macroeconomic Dynamics

16 Pages Posted: 6 Nov 2018

See all articles by Apostolos Serletis

Apostolos Serletis

University of Calgary - Department of Economics

Libo Xu

University of San Francisco - Department of Economics

Date Written: November 5, 2018

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

JEL Classification: C32; E52; E44

Suggested Citation

Serletis, Apostolos and Xu, Libo, Money Supply Volatility and the Macroeconomy (November 5, 2018). Forthcoming in: Macroeconomic Dynamics. Available at SSRN: https://ssrn.com/abstract=3279057 or http://dx.doi.org/10.2139/ssrn.3279057

Apostolos Serletis (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

Libo Xu

University of San Francisco - Department of Economics ( email )

2130 Fulton Street
San Francisco, CA 94117-1080
United States

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