IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00785395.html
   My bibliography  Save this paper

Money growth and velocity with structural breaks: Evidence from the Philippines

Author

Listed:
  • Assad L. Baunto

    (School of economics - UP System - University of the Philippines)

  • Christian Bordes

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Samuel Maveyraud-Tricoire

    (GREThA - Groupe de Recherche en Economie Théorique et Appliquée - UB - Université de Bordeaux - CNRS - Centre National de la Recherche Scientifique)

  • Philippe Rous

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

Abstract

This paper aims to test the Friedmanite proposal on the link between the velocity of money demand and money growth. We base our work on the Philippines as its monetary policy has been subject to sharp swings since the 1980s. We use a method that takes into account possible structural breaks in the velocity of money demand and a GARCH model to evaluate the variability of money growth. We apply Granger causality tests to confirm the Friedmanite hypothesis

Suggested Citation

  • Assad L. Baunto & Christian Bordes & Samuel Maveyraud-Tricoire & Philippe Rous, 2011. "Money growth and velocity with structural breaks: Evidence from the Philippines," Post-Print hal-00785395, HAL.
    • Handle: RePEc:hal:journl:hal-00785395
    Note: View the original document on HAL open archive server: https://unilim.hal.science/hal-00785395
    as

    Download full text from publisher

    File URL: https://unilim.hal.science/hal-00785395/document
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. John Thornton, 2006. "High And Variable Inflation: Further Evidence On The Friedman Hypothesis," South African Journal of Economics, Economic Society of South Africa, vol. 74(2), pages 167-171, June.
    2. Maria Socorro Gochoco-Bautista, 2006. "An Assessment of the Usefulness of Money for Policy in the Philippines," Asian Economic Papers, MIT Press, vol. 5(1), pages 142-176, Winter.
    3. Payne, James E., 1992. "Velocity and money growth variability: Some further evidence," International Review of Economics & Finance, Elsevier, vol. 1(2), pages 189-194.
    4. Lamberte, Mario B., 2002. "Central Banking in the Philippines: Then, Now and the Future," Discussion Papers DP 2002-10, Philippine Institute for Development Studies.
    5. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    6. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    7. Hall, Thomas E & Noble, Nicholas R, 1987. "Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(1), pages 112-116, February.
    8. Mina Baliamoune‐Lutz & Jonathan Haughton, 2004. "Velocity Effects of Increased Variability in Monetary Growth in Egypt: A Test of Friedman's Velocity Hypothesis," African Development Review, African Development Bank, vol. 16(1), pages 36-52.
    9. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    10. Edita A. Tan, 1991. "Interlocking Directorates Commercial Banks, Other Financial Institutions and NonFinancial Corporations," UP School of Economics Discussion Papers 199110, University of the Philippines School of Economics.
    11. Dennis McCornac, 1994. "Velocity and money growth variability: evidence from Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 1(9), pages 145-147.
    12. Friedman, Milton, 1983. "Monetary Variability: United States and Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 339-343, August.
    13. Thornton, John, 1995. "Friedman's Money Supply Volatility Hypothesis: Some International Evidence: Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 288-292, February.
    14. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    15. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-162, April.
    16. Zijun Wang, 2006. "The joint determination of the number and the type of structural changes," Economics Letters, Elsevier, vol. 93(2), pages 222-227, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Akhand Akhtar Hossain, 2015. "The Evolution of Central Banking and Monetary Policy in the Asia-Pacific," Books, Edward Elgar Publishing, number 14611.
    2. Elwasila Saeed Elamin Mohamed, 2020. "Velocity of Money Income and Economic Growth in Sudan: Cointegration and Error Correction Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 10(2), pages 87-98.
    3. Claudiu Tiberiu Albulescu & Daniel Goyeau & Cornel Oros, 2015. "On the Long Run Money-Prices Relationship in CEE Countries," Economic Research Guardian, Weissberg Publishing, vol. 5(1), pages 73-96, June.
    4. Ufuk CAN & Zeynep Gizem CAN & Süleyman DEĞİRMEN, 2019. "Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği," Istanbul Business Research, Istanbul University Business School, vol. 48(2), pages 218-247, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Assad L. Baunto & Christian Bordes & Samuel Maveyraud & Philippe Rous, 2007. "Money and uncertainty in the Philippines: A Friedmanite Perspective," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308663, HAL.
    2. Christian Bordes & Samuel Maveyraud, 2008. "The Friedman's and Mishkin's Hypotheses (Re)Considered," Post-Print hal-00308571, HAL.
    3. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
    4. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911, January.
    5. Abdul Karim, Zulkefly & Jusoh, Mansor & Khalid, Norlin, 2008. "Halaju wang di Malaysia : bukti empirik [The velocity of money in Malaysia : empirical evidence]," MPRA Paper 26966, University Library of Munich, Germany, revised 19 Jun 2008.
    6. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, October.
    7. Karl Pinno & Apostolos Serletis, 2016. "Money, Velocity, and the Stock Market," Open Economies Review, Springer, vol. 27(4), pages 671-695, September.
    8. Elisa Yamazaki Tanabe & José Carlos Ramírez Sánchez, 2010. "Evaluación del impacto del mercado de derivados en los canales de transmisión de la política monetaria en México: Metodologías VAR y M-GARCH," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(2), pages 47-78.
    9. Magazzino, Cosimo, 2012. "Wagner versus Keynes: Public spending and national income in Italy," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 890-905.
    10. Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
    11. Osamah M. Al-Khazali, 2003. "Stock Prices, Inflation, and Output: Evidence from the Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 2(3), pages 287-314, September.
    12. Hongbo Liu & Shuanglu Liang, 2019. "The Nexus between Energy Consumption, Biodiversity, and Economic Growth in Lancang-Mekong Cooperation (LMC): Evidence from Cointegration and Granger Causality Tests," IJERPH, MDPI, vol. 16(18), pages 1-15, September.
    13. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
    14. Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1021-1040, November.
    15. Carlos Alberto Piscarreta Pinto Ferreira, 2022. "Revisiting The Determinants Of Sovereign Bond Yield Volatility," Working Papers REM 2022/0241, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    16. William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 1996. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," Econometrics 9602003, University Library of Munich, Germany.
    17. Carlos Capistrán & Manuel Ramos‐Francia, 2009. "Inflation Dynamics In Latin America," Contemporary Economic Policy, Western Economic Association International, vol. 27(3), pages 349-362, July.
    18. Tung Liu & Lee C. Spector, 2005. "Dynamic employment adjustments over business cycles," Empirical Economics, Springer, vol. 30(1), pages 151-169, January.
    19. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    20. Výrost, Tomáš & Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Granger causality stock market networks: Temporal proximity and preferential attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 262-276.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00785395. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.