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Erscheinungsjahr: 
1997
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 1997,23
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
Recently, the Bundesbank claimed that monetary targeting has become considerably more diffcult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman's money growth volatility hypothesis. Granger-causality tests provide some evidence for a velocity-volatility linkage. However the estimation of volatility-augmented money demand functions reveals that - in contrast to Friedman's hypothesis - increased money growth volatility lowered the demand for money.
Schlagwörter: 
ARCH models
Money growth volatility
demand for money
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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