In this paper, I try to shed some new light on the "puzzle" why the Lucas critique, believed to be important by most economists, seems to have received very little empirical support. I use a real business cycle model to verify that the Lucas critique is quantitatively important in theory, and to...

This paper estimates the Cagan type demand for money function for Turkish economy during the period 1986:1-1995:3 and tests whether Cagan's specification fits the Turkish data using an econometric technique assuming that forecasting errors are stationary. This paper also tests the hypothesis...

This paper develops a constant, data-coherent, equilibrium correction model for broad money demand (M3) in Greece over 1976-1994. The aggregate M3 was targeted until recently, and current monetary policy still uses such aggregates as guidelines. In spite of financial innovation, financial...

The paper presents a comparative analysis of monetary transmission mechanisms and changes in them after the "second ERM" in March 1983. The empirical model investigates the determination of money, income, prices, and interest rates in Germany, Denmark, and Italy based on the cointegrated VAR...

If an economic relationship is superimposed by a linear time trend, the regression without detrending is misspecified. The estimators of such a regression do not converge to the true parameter values. First, the asymptotic limit arising from such misspecified regressions is characterized....