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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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(When) Should Cointegrating Regressions Be Detrended? The Case of a German Money Demand Function
Hassler, Uwe - 1999
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....
Persistent link: https://www.econbiz.de/10014200423
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Stability of the Demand for M1 and Harmonized M3 in Finland
Ripatti, Antti - 1998
-in-the-utility-function approach. The steady-state - utility function - parameters of the model of narrow money (M1) estimated with cointegration …
Persistent link: https://www.econbiz.de/10014215618
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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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Investigating Stability and Linearity of a German M1 Money Demand Function
Luetkepohl, Helmut; Teräsvirta, Timo; Wolters, Jürgen - 1998
Starting from a linear error correction model the stability and linearity of a German M1 money demand function are …
Persistent link: https://www.econbiz.de/10014110824
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Testing for the Lucas critique : a quantitative investigation
Lindé, Jesper - 2000
In this paper, I try to shed some new light on the puzzle why the Lucas critique, belived to be important by most economists, seems to have received very little empirical support. I use a real business cycle model to examine the properties of the super exogeneity test, which is used to detect...
Persistent link: https://www.econbiz.de/10011585378
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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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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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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