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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
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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
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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
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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
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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
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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
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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
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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
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Error Correction Model of the Demand for Money in Pakistan
Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 1998
The paper estimated dynamic demand for money (Currency) function for Pakistan. it is concluded that in the long run money demand depends on income, rate of inflation and bond rate. The rate of Inflation and rate of interst on deposits emerged as important determinant of money demand in the short...
Persistent link: https://www.econbiz.de/10005260334
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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