TY - JOUR
T1 - The dynamics of money velocity
AU - Ardakani, Omid M.
N1 - ABSTRACT The dynamic of money velocity has changed gradually, influencing how macroeconomic shocks affect money velocity. This paper examines the response of money velocity to the external shocks in a system of equations, where money velocity, real output growth, money growth volatility, expected inflation, and risk premium are jointly determined.
PY - 2022/5/31
Y1 - 2022/5/31
N2 - The dynamic of money velocity has changed gradually, influencing how macroeconomic shocks affect money velocity. This paper examines the response of money velocity to the external shocks in a system of equations, where money velocity, real output growth, money growth volatility, expected inflation, and risk premium are jointly determined. The regime-switching behaviour of money velocity is then examined through a Bayesian threshold approach. The main finding suggests that money velocity drops significantly after negative output and expected inflation shocks, followed by a sudden increase. In addition, the regime-switching process distinguishes the deterministic and stochastic behaviour of money velocity.
AB - The dynamic of money velocity has changed gradually, influencing how macroeconomic shocks affect money velocity. This paper examines the response of money velocity to the external shocks in a system of equations, where money velocity, real output growth, money growth volatility, expected inflation, and risk premium are jointly determined. The regime-switching behaviour of money velocity is then examined through a Bayesian threshold approach. The main finding suggests that money velocity drops significantly after negative output and expected inflation shocks, followed by a sudden increase. In addition, the regime-switching process distinguishes the deterministic and stochastic behaviour of money velocity.
UR - https://www.tandfonline.com/doi/full/10.1080/13504851.2022.2083062
U2 - 10.1080/13504851.2022.2083062
DO - 10.1080/13504851.2022.2083062
M3 - Article
SN - 1350-4851
JO - Applied Economics Letters
JF - Applied Economics Letters
ER -