Volume 8, Issue 28 (7-2017)
jemr 2017, 8(28): 75-102 |
Back to browse issues page
Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
Abdolmaleki H, Asgharpur H, Hghighat J. Examination of Friedman’s Monetary Volatility Hypothesis in Iran: Asymmetric Approach From Extended VARMA, GARCHM Model. jemr 2017; 8 (28) :75-102
URL: http://jemr.khu.ac.ir/article-1-1227-en.html
URL: http://jemr.khu.ac.ir/article-1-1227-en.html
1- Tabriz University , hamedab1986@gmail.com
2- Tabriz University
2- Tabriz University
Abstract: (7400 Views)
Money supply and velocity of money are important variables that affect inflation and product. Velocity of money is a key concept for economic policy, and it's getting more important since it is closely related to behavior of the demand for money. In this regard, Friedman believes that the volatility of money growth is the main factor of velocity of money, which in monetary economics literature is known as Friedman’s monetary volatility hypothesis. The purpose of this study is to explore and explain the fluctuations in the velocity of mony from the perspective of Monetarism. In this regard, using Iran’s economic quarterly data for the period 1988(3)-2015(1) and in the framework of causality test, the Friedman hypothesis based on the impact of volatility of money growth on velocity of money is tested for monetary aggregates (M1 and M2). The model used in this paper is extended VARMA, GARCH-M and the estimated method is quasi maximum likelihood (QML). The results support the Friedman hypothesis for the period under study; in other words, there is a causal relationship from money growth volatility to velocity of money.
Keywords: Money Growth Volatility, Velocity Of money, Monetary Aggregate, Asymmetric, VARMA, GARCH-M Model
Type of Study: Applicable |
Subject:
پولی و مالی
Received: 2016/03/10 | Accepted: 2017/06/14 | Published: 2017/09/17
Received: 2016/03/10 | Accepted: 2017/06/14 | Published: 2017/09/17
References
1. Baliamoune‐Lutz, Mina, & Haughton, Jonathan. (2004). Velocity effects of increased variability in monetary growth in Egypt: A test of Friedman's velocity hypothesis. African Development Review, 16(1), 36-52. [DOI:10.1111/j.1467-8268.2004.00083.x]
2. Baunto, Assad L, Bordes, Christian, Maveyraud, Samuel, & Rous, Philippe. (2011). Money growth and velocity with structural breaks: Evidence from the Philippines. Philippine Management Review, 18, 71-81.
3. Bordes, Christian. (1990). Friedman's velocity hypothesis: Some evidence for France. Economics Letters, 32(3), 251-255. [DOI:10.1016/0165-1765(90)90107-C]
4. Brocato, Joe, & Smith, Kenneth L. (1989). Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: Comment. Journal of Money, Credit and Banking, 21, 258-261. [DOI:10.2307/1992375]
5. Brüggemann, Imke, & Nautz, Dieter. (1997). Money growth volatility and the demand for money in Germany: Friedman's volatility hypothesis revisited. Review of World Economics, 133(3), 523-537. [DOI:10.1007/BF02707501]
6. Chowdhury, Abdur R. (1988). Velocity and the variability of money growth: Some international evidence. Economics Letters, 27(4), 355-360. [DOI:10.1016/0165-1765(88)90162-0]
7. Engle, Robert F, & Kroner, Kenneth F. (1995). Multivariate simultaneous generalized ARCH. Econometric theory, 11(1), 122-150. [DOI:10.1017/S0266466600009063]
8. Engle, Robert F, & Ng, Victor K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749-1778. [DOI:10.1111/j.1540-6261.1993.tb05127.x]
9. Fattahi, S., Sohaili, K., & Abdolmaleki, H. (2014). Oil Price Uncertainty and Economic Growth in Iran: Evidence from Asymmetric VARMA, MVGARCH-M. Journal of Research in Economic Modeling 5(17): 57-85.
10. Friedman, M. (1984) Lessons from the 1979Ð 82 monetary policy experiment, American Economic Review, 74, 397- 400. [DOI:10.3386/w1272]
11. Hall, Thomas E, & Noble, Nicholas R. (1987). Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: Note. Journal of Money, Credit and Banking, 19(1), 112-116. [DOI:10.2307/1992250]
12. Keynes, John Maynard. (1936). The General Theory of Employment, Interest and Money. HBJ edition 1964, Orlando, Florida: Harcourt Brace Jovanovich, p 201.
13. Kroner, KE, & Ng, Victor K. (1998). Modeling asymmetric comovements of asset returns. Review of Financial Studies, 11(4), 817-844. [DOI:10.1093/rfs/11.4.817]
14. Mehra, Yash P. (1989). Velocity and the variability of money growth: evidence from Granger-causality tests reevaluated. Journal of Money, Credit, and Banking, 21(2), 87-82. [DOI:10.2307/1992376]
15. Mohamed, Azali. (1996). Velocity and the variability of anticipated and unanticipated money growth in Malaysia. Applied Economics Letters, 3(11), 697-700. [DOI:10.1080/135048596355682]
16. Owoye, Oluwole. (2010). Income velocity and the variability of money growth: evidence from less developed countries. Applied Economics, 29, 485-496. [DOI:10.1080/000368497326976]
17. Pinno, Karl & Serletis, Apostolos. (2016). Money, Velocity, and the Stock Market. Open Economies Review 27:671-695. [DOI:10.1007/s11079-016-9400-5]
18. Serletis, Apostolos. (1990). Velocity effects of anticipated and unanticipated money growth and its variability. Applied Economics, 22(6), 775-784. [DOI:10.1080/00036849000000017]
19. Serletis, Apostolos, & Shahmoradi, Akbar. (2006). Velocity and the variability of money growth: evidence from a VARMA, GARCH-M model. Macroeconomic Dynamics, 10(05), 652-666. [DOI:10.1017/S1365100506050309]
20. Shields, Kalvinder, Olekalns, Nilss, Henry, Ólan T, & Brooks, Chris. (2005). Measuring the response of macroeconomic uncertainty to shocks. Review of Economics and Statistics, 87(2), 362-370. [DOI:10.1162/0034653053970276]
21. Syrotion. R; Velocity of Money: Determinants in Ukraine (2012); MA Thesis in Financial Economics: Kyiv School of Economics: Ukraine.
22. Tao, Jiang, Milton Friedman's paradox and Irving Fisher's Velocity: The Evidence. [on line] http://dx.doi.org/10.2139/ssrn.333023, September 2002. [DOI:10.2139/ssrn.333023]
23. Thornton, John. (1991). Velocity and the variability of monetary growth in the United Kingdom. Applied Economics, 23(4), 811-814. [DOI:10.1080/00036849108841038]
25. Thornton, John, & Molyneux, Philip. (1995). Velocity and the volatility of unanticipated and anticipated money supply in the United Kingdom. International Economic Journal, 9(3), 61-66. [DOI:10.1080/10168739500080020]
26. Zarra-Nezhad, M., et al. (2011). Estimation of Velocity of Money and Liquidity in Iran's Economy. Scientific Journal Management System 8(1): 123-145.
Send email to the article author
| Rights and permissions | |
 | This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License. |
