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A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
Stock, James H. - 1989
An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of...
Persistent link: https://www.econbiz.de/10012475849
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Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand
Mark, Nelson C. - 2002
We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed …
Persistent link: https://www.econbiz.de/10012469343
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Dynamic Seemingly Unrelated Cointegrating Regression
Mark, Nelson C. - 2003
panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation … estimation problem is not always straightforward. We propose Dynamic Seemingly Unrelated Regression (DSUR) estimators which can … properties of the DSUR estimators both for heterogeneous and homogenous cointegrating vectors. The estimation techniques are then …
Persistent link: https://www.econbiz.de/10012469103
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International Evidence on Long Run Money Demand
Benati, Luca - 2016
cointegration tests identify a long-run equilibrium relationship between either velocity and the short rate, or M1, GDP, and the …
Persistent link: https://www.econbiz.de/10012456202
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Persistent Liquidity Effects and Long Run Money Demand
Alvarez, Fernando E. - 2011
We present a 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...
Persistent link: https://www.econbiz.de/10012461092
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Sticky Prices Versus Monetary Frictions : An Estimation of Policy Trade-offs
Aruoba, S. Boragan - 2009
We develop a two-sector monetary model with a centralized and decentralized market. Activities in the centralized market resemble those in a standard New Keynesian economy with price rigidities. In the decentralized market agents engage in bilateral exchanges for which money is essential. The...
Persistent link: https://www.econbiz.de/10012463778
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The Demand for Money, Financial Innovation, and the Welfare Cost of Inflation : An Analysis with Household Data
Attanasio, Orazio - 1998
How far can shoe-leather go in explaining the welfare cost of inflation? Using a unique set of microeconomic data on households, we estimate the parameters of the demand for money derived from the generalized Baumol-Tobin model. Our data set contains information on average holdings of cash, on...
Persistent link: https://www.econbiz.de/10012472217
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The 1981-82 Velocity Decline : A Structural Shift in Income or Money Demand?
Gordon, Robert J. - 1984
The velocity of both M1 and M2 appears to have experienced a sharp and persistent downward shift during 1981 and 1982. The implications of this shift are reexamined within the context of the previous literature on quarterly econometric equations explaining the demand for money. The traditional...
Persistent link: https://www.econbiz.de/10012477748
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Short-Run Money Demand
Ball, Laurence - 2002
The paper estimates a long-run demand function for M1, using U.S. data for 1959-1993. This paper interprets deviations from this long-run relation with Goldfeld's partial adjustment model. A key innovation is the choice of the interest rate in the money demand function. Most previous work uses a...
Persistent link: https://www.econbiz.de/10012469474
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Measuring Business Cycles by Saving for a Rainy Day
Crucini, Mario J. - 2010
We propose a simple saving-based measure of the cyclical component in GDP. The measure is motivated by the prediction that the represenative consumer changes savings in response to temporary deviations of income from its stochastic trend, while satisfying a present-value budget constraint. To...
Persistent link: https://www.econbiz.de/10012462580