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The Demand for Broad Money in Norway, 1969-1993
Eitrheim, Oyvind - 2010
Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway …
Persistent link: https://www.econbiz.de/10014215622
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A cointegration model of money and wealth
Assenmacher-Wesche, Katrin; Beyer, Andreas - 2020
Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the...
Persistent link: https://www.econbiz.de/10012150128
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A cointegration model of money and wealth
Assenmacher-Wesche, Katrin; Beyer, Andreas - 2018
Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy...
Persistent link: https://www.econbiz.de/10011974516
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Modeling Money (M2) Demand in Egypt - A Vector Equilibrium Correction Model
Rostom, Ahmed Mohamed - 2011
This paper empirically investigates the relationship between real money demand, real income, interest rates and real consumption. The paper provide a mixed strategy for estimating the money demand function that incorporates shifting from a system of equations vector auto regression (VAR)...
Persistent link: https://www.econbiz.de/10013117218
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An Econometric Analysis of Monthly Demand for Money in India
Jariwala, Vijay - 2017
cointegration tests on host of various money supply aggregates for monthly time series from April, 1990-91 to July, 2013-14 along …
Persistent link: https://www.econbiz.de/10012943326
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The long-run demand for M2 reconsidered
Altermatt, Sophie - 2018
first half of the 19th century. The evidence from cointegration tests suggests that a long-run equilibrium relationship for …) cointegration tests produce strong evidence in favor of a stable long-run money demand. Evidence for Israel and Lebanon is weaker … demand or it is mixed across money demand specifications and/or type of cointegration test. …
Persistent link: https://www.econbiz.de/10011961332
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Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021
We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...
Persistent link: https://www.econbiz.de/10013220281
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Structural breaks, cointegration and demand for money in Nigeria
Doguwa, Sani I.; Olowofeso, Olorunsola E.; Uyaebo, … - In: CBN journal of applied statistics 5 (2014) 1, pp. 15-33
investigated. The Gregory-Hansen residual based test for cointegration detected both intercept and regime shifts in 2007:Q1 as the … null of no cointegration is rejected at 1 per cent significance level, indicating that long run relationship exists between …
Persistent link: https://www.econbiz.de/10011489463
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Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix
Bun, Maurice J. G. - 2001
Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models with general covariancestructure. The focus is on...
Persistent link: https://www.econbiz.de/10011313930
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Money Demand, a Microeconometric - Seminonparametric Approach : The Asymptotoically Ideal Model (AIM)
Thomas, Darron Anthony - 2011
The Asymptotically Ideal Model (AIM), first estimated by Barnett and Yue (1998), based on the Muntz-Szatz series expansion as described by Barnett and Jonas (1983) is used to estimate money demand using quarterly US data from 1960 to the first quarter of 2004. We find that monetary assets are...
Persistent link: https://www.econbiz.de/10013131607