Money Supply Volatility and the Macroeconomy
Forthcoming in: Macroeconomic Dynamics
16 Pages Posted: 6 Nov 2018
Date Written: November 5, 2018
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: Suggested Citation