Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates
| Autor: | Apostolos Serletis, Jinan Liu |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Economics and Econometrics
050208 finance 05 social sciences Bivariate analysis Monetary economics Divisia index Credit card Alternative payments 0502 economics and business Financial crisis Economics Divisia monetary aggregates index Balance sheet 050207 economics Volatility (finance) Social Sciences (miscellaneous) Analysis |
| Zdroj: | Studies in Nonlinear Dynamics & Econometrics. 24 |
| ISSN: | 1558-3708 1081-1826 |
| DOI: | 10.1515/snde-2019-0106 |
| Popis: | We reexamine the effects of the variability of money growth on output, raised by Mascaro and Meltzer (1983), in the era of the increasing use of alternative payments, such as credit cards. Using a bivariate VARMA, GARCH-in-Mean, asymmetric BEKK model, we find that the volatility of the credit card-augmented Divisia M4 monetary aggregate has a statistically significant negative impact on output from 2006:7 to 2019:3. However, there is no effect of the traditional Divisia M4 growth volatility on real economic activity. We conclude that the balance sheet targeting monetary policies after the financial crisis in 2007–2009 should pay more attention on the broad credit card-augmented Divisia M4 aggregate to address economic and financial stability. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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