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Reconsidering the welfare cost of inflation in the US: a nonparametric estimation of the nonlinear long-run money-demand equation using projection pursuit regressions

Gupta, Rangan; Majumdar, Anandamayee - In: Empirical Economics 46 (2014) 4, pp. 1221-1240

the behavior US money demand over the period of 1980:Q1–2010:Q4, using the standard linear cointegration procedures found …

Persistent link: https://www.econbiz.de/10010994365

The demand for broad money in Norway, 1969-1993

Eitrheim, ûyvind - In: Empirical Economics 23 (1998) 3, pp. 339-354

Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway …

Persistent link: https://www.econbiz.de/10005382373

Money demand stability: Evidence from Spain

Vega, Juan Luis - In: Empirical Economics 23 (1998) 3, pp. 387-400

Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration …

Persistent link: https://www.econbiz.de/10005382491

Empirical modeling of money demand

Ericsson, Neil R. - In: Empirical Economics 23 (1998) 3, pp. 295-315

theory, data measurement, parameter constancy, the opportunity cost of holding money, cointegration, model specification …

Persistent link: https://www.econbiz.de/10005166656

Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK

Mizon, Grayham E.; Hendry, David F. - In: Empirical Economics 23 (1998) 3, pp. 267-294

that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance …

Persistent link: https://www.econbiz.de/10005166743

Money demand, the Cagan model, testing rational expectations vs adaptive expectations: The case of Turkey

Metin, Kivilcim; Muslu, Ilker - In: Empirical Economics 24 (1999) 3, pp. 415-426

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...

Persistent link: https://www.econbiz.de/10005612895

Broad money demand and financial liberalization in Greece

Sharma, Sunil; Ericsson, Neil R. - In: Empirical Economics 23 (1998) 3, pp. 417-436

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...

Persistent link: https://www.econbiz.de/10005613053

Residual-based tests for cointegration with three-regime TAR adjustment

Maki, Daiki; Kitasaka, Shin-ichi - In: Empirical Economics 48 (2015) 3, pp. 1013-1054

This paper proposes residual-based tests for cointegration with three-regime threshold autoregressive (TAR) adjustment …>-type tests that have the null hypothesis of linear no cointegration and the alternative of cointegration with three-regime TAR … the Engle–Granger cointegration test and the cointegration test in a two-regime TAR model introduced by Enders and Siklos …

Persistent link: https://www.econbiz.de/10011240930

Changing monetary transmission mechanisms within the EU

Juselius, Katarina - In: Empirical Economics 23 (1998) 3, pp. 455-481

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...

Persistent link: https://www.econbiz.de/10005758307

Bank lending channel in India: evidence from state-level analysis

Bhatt, Vipul; Kishor, N. - In: Empirical Economics 45 (2013) 3, pp. 1307-1331

This paper seeks to answer two questions: first, do monetary policy shocks affect the size of bank loans, and second, do bank loans affect real economic activity? Using annual panel data on the Indian states from 1996 to 2008, we find that money demand shocks have large and statistically...

Persistent link: https://www.econbiz.de/10010994395

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