Money Demand Functions: Cointegration and Long{Run Stability

نویسنده

  • Alfred A. Haug
چکیده

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 or 1968. Annual data are used for the former span, and annual and quarterly data for the latter. The results show that the cointegration rank is not stable.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Estimating a Function of Real Demand for Money in Pakistan: An Application of Bounds Testing Approach to Cointegration

This paper attempts to model a real demand for money function of Pakistan. For this purpose we apply bounds test based cointegration technique using the time series data for the period 1973 to 2010. Our findings included three determinants: 1) real income and 2) foreign exchange contain positive relation as well as for both long run and short run dynamics they are the most significant factors o...

متن کامل

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...

متن کامل

Estimating a Function of Real Demand for Money in Pakistan: An Application of Bounds Testing Approach to Cointegration

This paper attempts to model a real demand for money function of Pakistan. For this purpose we apply bounds test based cointegration technique using the time series data for the period 1973 to 2010. Our findings included three determinants: 1) real income and 2) foreign exchange contain positive relation as well as for both long run and short run dynamics they are the most significant factors o...

متن کامل

Inflation and Cost Push in Iran's Economy

There have been two broad theories of inflation, namely the demand-pull theory of inflation (that is nowadays mainly the monetary theory of inflation) and the cost-push theory of inflation. The mainstream macroeconomics views inflation as a monetary phenomenon in the long run. Iran has experienced double-digit rates of inflation for about four decades. Our main aim is an explanation for the lon...

متن کامل

On the Stability of Euro Area Money Demand and its Implications for Monetary Policy

We revisit the usefulness of long-run money demand equations for the European Central Bank. We first conduct a model evaluation exercise by means of a recent time–varying cointegration test. A stable relation for euro area M3 is not rejected by data only when accounting for both a speculative motive, represented by international financial markets, and a precautionary motive, proxied by changes ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2000