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Applied Economics Letters Volume 26, 2019 - Issue 20
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Articles

Testing the Friedman–Schwartz hypothesis using time-varying correlation analysis

Taniya GhoshIndira Gandhi Institute of Development Research (IGIDR), Mumbai, IndiaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-9792-0967
ORCID Icon &
Prashant Mehul ParabIndira Gandhi Institute of Development Research (IGIDR), Mumbai, India
Pages 1694-1699 | Published online: 20 Mar 2019

References

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  • Belongia, M. T., and P. N. Ireland. 2016. “Money and Output: Friedman and Schwartz Revisited.” Journal of Money, Credit and Banking 48 (6): 1223–1266. doi:10.1111/jmcb.2016.48.issue-6.
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  • Estrella, A., and F. S. Mishkin. 1997. “Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?” Journal of Monetary Economics 40: 279–304. doi:10.1016/S0304-3932(97)00044-5.
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  • Hendrickson, J. R. 2014. “Redundancy and ‘Mismeasurement’? A Reappraisal of Money.” Macroeconomic Dynamics 18: 1437–1465. doi:10.1017/S1365100512001034.
  • Li, W. K., and T. K. Mak. 1994. “On the Squared Residual Autocorrelations in Nonlinear Time Series with Conditional Heteroskedasticity.” Journal of Time Series Analysis 15 (6): 627–636. doi:10.1111/j.1467-9892.1994.tb00217.x.
  • Ramachandran, M., R. Das, and B. Bhoi. 2010. “The Divisia Monetary Indices as Leading Indicators of Inflation.” RBI Development Research Group Study No. 36. Mumbai.
  • Tse, Y. K., and A. K. C. Tsui. 2002. “A Multivariate GARCH Model with Time-Varying Correlations.” Journal of Business and Economic Statistics 20: 351–362. doi:10.1198/073500102288618496.

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