The Long-Run Stability of European Money Demand

Money Demand Functions: Cointegration and Long{Run Stability

This paper applies conventional tests (Johansen, 1995) and new tests (Chao and Phillips,1999) for cointegration to long{run money demand functions using Canadian data from 1872 to 1997. If cointegration is found, recently proposed tests by Quintos (1997) for stability of the cointegration rank are carried out. The paper focuses on two spans of data: one span starting in 1872, the other in 1957 ...

Persistent Liquidity Effect and Long Run Money Demand∗

We present a new monetary model in the presence of segmented asset markets that implies a persistent fall in interest rates after a once and for all increase in liquidity. The gradual propagation mechanism produced by our model is novel in the literature. We provide an analytical characterization of this mechanism, showing that the magnitude of the liquidity effect on impact, and its persistenc...

Estimating a European Demand for Money

European Monetary Union will come into existence in 1999. This raises questions related to the monetary policy targets that will be adopted by the European Central Bank (ECB). For both likely candidates, targeting a money aggregate or an inflation target, the existence of a stable money demand function at a European level is important. In this paper estimates of such a European money demand for...

Testing the long run neutrality of money based on the seasonal cointegration theory: The case of Iran

This article uses seasonal integration and co integration techniques to test the hypothesis of neutrality of money, using data from the Iranian economy. Seasonal data for the three variables of money supply, output and prices show that (increase in) money supply and the price level are co integrated at zero frequency, but one does not see such a relationship between (increase in) money supply a...

The Stability of Demand for Money and its Dynamic Aspects in Iran