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The Transactions Velocity of Money and Its Efficiency

Published online by Cambridge University Press:  01 December 2009

R. J. Sweeney
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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

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