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Nowadays, modelling long-term money demand is largely unambiguous. There is a vast amount of empirical evidence concerning a cointegrating relationship between money demand, some kind of interest rate and income. In contrast to this, short-run dynamics are still opaque. In the existing...
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This paper proposes a cumulative error correction model where the summing weights follow a geometrically decreasing function of prior deviations from equilibrium and are estimated from the data. It is shown that this approach is located in between the traditional error correction model - where...
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