Money volatility and output volatility: any asymmetric effects? Evidence from conditional measures of volatility

Abstract

Purpose

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

Design/methodology/approach

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.

Findings

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.

Originality/value

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.

Citation

Apergis, N. and Miller, S. (2005), "Money volatility and output volatility: any asymmetric effects? Evidence from conditional measures of volatility", Journal of Economic Studies, Vol. 32 No. 6, pp. 511-523. https://doi.org/10.1108/01443580510631397