Hostname: page-component-669899f699-qzcqf Total loading time: 0 Render date: 2025-04-26T20:26:37.586Z Has data issue: false hasContentIssue false
  • English
  • Français

The Transactions Velocity of Money and Its Efficiency

Published online by Cambridge University Press:  01 December 2009

R. J. Sweeney
Get access Rights & Permissions [Opens in a new window]

Extract

This paper models the unobservable rate of return on money balances (r) as depending directly on the transactions velocity of money (ν). Approximating this relationship linearly, the efficient markets hyphothesis (EMH) is shown to imply that first differences of the log of ν should either be random or should show negative first-order serial correlation at most. The empirical evidence presented below is consistent with the EMH.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 19 , Issue 3 , September 1984 , pp. 339 - 350
Copyright
Copyright © School of Business Administration, University of Washington 1984

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

[1]Banz, Rolf W. “The Relationship between Return and Market Value of Common Stocks.” Journal of Financial Economics, Vol. 9 (March 1981), pp. 3–18.CrossRefGoogle Scholar
[2]Box, George, and Jenkins, Gwilym. Time Series Analysis, rev. ed.San Francisco: Holden-Day (1976).Google Scholar
[3]Friedman, Milton. “A Theoretical Framework for Monetary Analysis.” Journal of Political Economy, Vol. 78 (March/April 1970), pp. 193–238.Google Scholar
[4]Friedman, Milton, and Schwartz, Anna. A Monetary History of the United States. Princeton (1960).Google Scholar
[5]Gould, John P., and Nelson, Charles R.. “The Stochastic Structure of the Velocity of Money.” American Economic Review, Vol. 64 (June 1974), pp. 405–418.Google Scholar
[6]Gould, John P.; Miller, Merton H.; Nelson, Charles R.; and Upton, C. W.. “The Stochastic Properties of Velocity and the Quantity Theory of Money.” Journal of Monetary Economics, Vol. 4 (April 1978), pp. 229–248.CrossRefGoogle Scholar
[7]Kendall, Maurice G., and Stuart, Alan. The Advanced Theory of Statistics, New York: Hafner (1968).Google Scholar
[8]Pesando, James E. “On Forecasting Interest Rates: An Efficient Markets Perspective.” Journal of Monetary Economics, Vol. 8 (November 1981), pp. 305–318.CrossRefGoogle Scholar
[9]Reinganum, Marc R. “Misspecification of Capital Asset Pricing.” Journal of Financial Economics. Vol. 9 (March 1981), pp. 19–46.CrossRefGoogle Scholar
[10]Stokes, Houston H., and Neuburger, Hugh. “A Note on the Stochastic Structure of the Velocity of Money: Some Reservations.” American Economist, Vol. 23 (Fall 1979), pp. 62–64.Google Scholar
[11]Sweeney, Richard J. “Money Demand and Supply Shocks, and Unemployment.” Unpublished Manuscript, Claremont (1980).Google Scholar
[12] “Symposium on Some Anomalous Evidence Regarding Market Efficiency.” Journal of Financial Economics, Vol. 6 (June/September 1978), pp. 95–330.CrossRefGoogle Scholar
[13]Working, Holbrook. “Note on the Correlation of Averages in a Random Chain.” Econometrica. Vol. 28 (October 1960), pp. 916–918.Google Scholar