Money volatility and output volatility: any asymmetric effects?

Nicholas Apergis (Department of International and European Economic and Political Studies University of Macedonia, Thessaloniki, Greece)
Stephen Miller (Department of Economics University of Nevada Las Vegas, Las Vegas, Nevada, USA)

Journal of Economic Studies

ISSN: 0144-3585

Publication date: 1 December 2005



To investigate whether monetary volatility in the US exerts any asymmetric impact on output volatility over the period 1974‐2002.


For the empirical purposes, the analysis makes use of the multi‐variable GARCH (MVGARCH), which allows not only the presence of volatility clustering but also the presence of asymmetries in that volatility clustering.


The empirical findings suggest that money supply volatility exerts a significant asymmetric influence on output volatility, i.e. the variance of output changes more due to positive changes than negative changes of money supply volatility.


The paper investigates, for the first time, the presence of any asymmetric impact of the volatility of money on the volatility of output in the case of the US.



Apergis, N. and Miller, S. (2005), "Money volatility and output volatility: any asymmetric effects?", Journal of Economic Studies, Vol. 32 No. 6, pp. 511-523.

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Copyright © 2005, Emerald Group Publishing Limited

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