The Stochastic Properties of Velocity: A New Interpretation / Michael D. Bordo, Lars Jonung.

Format:

Book

Author/Creator:

Bordo, Michael D.

Contributor:

National Bureau of Economic Research.

Jonung, Lars.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2255.

NBER working paper series no. w2255

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

The Stochastic Properties of Velocity

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1987.

Summary:

A number of recent studies have concluded that velocity for the United States for the past century displays the characteristics of a random walk without drift. In this study, we confirm this result for four other countries for which we have over a century of data -- Canada, the United Kingdom, Sweden and Norway. One implication of a random walk is that past changes in velocity cannot be used to predict future changes. However, this does not mean that past changes in variables that economic theory deems important determinants of velocity cannot be used to predict future changes. In this study we find that past changes in the traditional determinants of velocity - permanent income and interest rates, as well as a number of institutional variables, can be used to predict future changes in velocity.

Notes:

Print version record

May 1987.