Volume 7, Number 28 (9-2017)                   jemr 2017, 7(28): 75-102 | Back to browse issues page

XML Persian Abstract Print

Download citation:
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; 7 (28) :75-102
URL: http://jemr.khu.ac.ir/article-1-1227-en.html

Abstract:   (212 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.
Full-Text [PDF 356 kb]   (111 Downloads)    
Type of Study: Applicable | Subject: پولی و مالی
Received: 2016/03/10 | Accepted: 2017/06/14 | Published: 2017/09/17

Add your comments about this article : Your username or email:
Write the security code in the box

Send email to the article author

© 2015 All Rights Reserved | Journal of Economic Modeling Research

Designed & Developed by : Yektaweb