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

Assad L. Baunto · Christian Bordes · Samuel Maveyraud · Philippe Rous

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Monetary Policy and Economic Impact Economic Theory and Policy Economic theories and models

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

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1986Generalized autoregressive conditional heteroskedasticity 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1996Efficient Tests for an Autoregressive Unit Root 1972MONEY, INCOME, AND CAUSALITY 1990Testing for a Unit Root in a Time Series With a Changing Mean 2003Critical values for multiple structural change tests 1984Lessons from the 1979-1982 Monetary Policy Experiment

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