Money supply volatility and the macroeconomy
Apostolos Serletis, Libo Xu
University of Calgary, Canada, firstname.lastname@example.org
University of San Francisco, USA, email@example.com
Please cite the paper as:
Apostolos Serletis, Libo Xu, (2018), Money supply volatility and the macroeconomy, World Economics Association (WEA) Conferences, No. 1 2018, Monetary Policy after the Global Crisis, 19th February to 20th April, 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 modiffed 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.
A paper shows very good potential. I think that you made a right decision in terms of GARCH.
Have you run DM3? As I recall Barnett, Chauvet, and de Leon show that is the better one in Nowcasting. I’m not sure it makes much difference, but I’m curious to see.
Excellent paper. Markov switching, structural vector error correction (VEC) model that is modified to accommodate GARCH-in-Mean errors is a flexible and useful approach to modelling the effects of money growth volatility on output growth.