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Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland

Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1988

The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration … vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration … vectors is given a simple parametric formulation in terms of cointegration vectors and their weights. We then estimate and …

Persistent link: https://www.econbiz.de/10005749557

Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector

Ericsson, Neil R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 377-398

Persistent link: https://www.econbiz.de/10011649116

M3 money demand and excess liquidity in the euro area

Dreger, Christian; Wolters, Jürgen - 2010

Recent empirical studies have found evidence of unstable long run money demand functions if recent data are used. If the link between money balances and the macroeconomy is fragile, the rationale of monetary aggregates in the ECB strategy has to be doubted. In contrast we present a "stable''...

Persistent link: https://www.econbiz.de/10011518878

Money velocity and asset prices in the euro area

Dreger, Christian; Wolters, Jürgen - 2009

of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …

Persistent link: https://www.econbiz.de/10011518893

M3 money demand and excess liquidity in the euro area

Dreger, Christian; Wolters, Jürgen - 2008

Money growth in the euro area has exceeded its target since 2001. Likewise, recent empirical studies did not find evidence in favour of a stable long run money demand function. The equation appears to be increasingly unstable if more recent data are used. If the link between money balances and...

Persistent link: https://www.econbiz.de/10011384239

Money velocity and asset prices in the euro area

Dreger, Christian; Wolters, Jürgen - 2008

of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …

Persistent link: https://www.econbiz.de/10011384244

Elasticities of gold demand : an empirical analysis using cointegration and error correction model

Immanuvel, S. Maria; Lazar, D. - In: Arthaniti : journal of economic theory and practice 20 (2021) 2, pp. 131-142

Persistent link: https://www.econbiz.de/10014476531

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

Modelling the Demand for Money in Pakistan

Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 2005

The study estimates the dynamic demand for money (M2) function in Pakistan by employing cointegration analysis and …

Persistent link: https://www.econbiz.de/10005835602

Demand for Money By Business Sector in a Developing Country: Evidence from Pakistan

Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 1999

The paper provides estimate of money (M2) demand for business sector in Pakistan. By using cointegartion analysis and erropr correction mechanism the study found that business sectors money demand behaviour is completely different from the aggregate money demand function. The rate of interest on...

Persistent link: https://www.econbiz.de/10005260062