Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: Comment

Money growth, uncertainty and macroeconomic activity: a multivariate GARCH analysis

“…months) of each of the four variables up to including the first 24 lags of each. The choice of lag lengths is consistent with previous literature (Hall and Noble 1987;Mehra 1989) and Friedman's indication that there are long and variable lags in the impact of money on other economic variables (see, for example, Friedman 1961). The F-statistics arising from the variable deletion tests required to test for the presence of Granger causality are reported in Table 4.…”

“…Secondly, our reading of the 1980s literature discussing and testing, in the main, the hypothesis that variability in money growth is a causal factor in changes in the velocity of money (e.g. Belongia 1984;Hall and Noble 1987;Brocato and Smith 1989;Mehra 1989) is that uncertainty can be expected to have a delayed impact on real money holdings. We need to be able, therefore, to examine causal influences over various lag lengths, which the two-step method easily allows.…”

Has futures trading activity caused stock price volatility?

“…This particular measure of volatility is recommended by Davis andWhite (1987), Lauterback (1989), and Becketti and Sellon (1990), among others. Furthermore, Modigliani and Shiller (1973), Evans (1984), Pindyck (1984), Tatom (1985), Mehra (1989), and Darrat (1 990) have all used moving-average standard deviation to represent volatility (variability) of several economic and financial time series. As Lauterback ( 1989) noted, this movingaverage standard-deviation estimator is usually selected because it is simple and intuitively appealing.…”

Central bank credibility and forecasting

“…Carlson (1980) compared the standard deviations of money growth and argued that greater money predictability yields greater predictability of how money affects the economy. Examining the hypotheses of Friedman (1983) and Mascaro and Meltzer (1983) that money volatility in the 1980s caused a velocity decline, Hall and Noble (1987), Brocato and Smith (1989) and Mehra (1989) measure money variability as 8-quarter moving standard deviations of money growth, i.e. where the standard deviations of money growth for the current period is measured over the previous eight quarters.…”