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Money Supply Volatility and the Macroeconomy

Author

Listed:
  • Apostolos Serletis

    (University of Calgary)

  • Libo Xu

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.

Suggested Citation

  • Apostolos Serletis & Libo Xu, "undated". "Money Supply Volatility and the Macroeconomy," Working Papers 2018-16, Department of Economics, University of Calgary, revised 05 Nov 2018.
    • Handle: RePEc:clg:wpaper:2018-16
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    Cited by:

    1. Barnett William A. & Jawadi Fredj & Ftiti Zied, 2020. "Causal relationships between inflation and inflation uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-26, December.

    More about this item

    Keywords

    CFS Divisia monetary aggregates; Markov regime-switching; Money growth volatility;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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