Aggregate Money Demand Functions : Empirical Applications in Cointegrated Systems

by Dennis L. Hoffman, Robert H. Rasche

The econometric consequences of nonstationary data have wide-ranging implications for empirical research in economics. Specifically, these issues have implications for the study of empirical relations such as a money demand function that links macroeconomic aggregates: real money balances, real income and a nominal interest rate. Traditional monetary theory predicts that these nonstationary series form a cointegrating relation and, accordingly, that the dynamics of a vector process comprising these variables generates distinct patterns. Recent econometric developments designed to cope with nonstationarities have changed the course of empirical research in the area, but many fundamental challenges, for example the issue of identification, remain. This book is an effort to determine the consequences that nonstationarity has for the study of aggregate money demand relations. The object of this book is to utilize the tools of modern time series analysis to determine the role of an aggregate demand for real balances in the generation of macroeconomic time series. A significant distinguishing characteristic of this research is the identification and estimation of this demand function in a multivariate framework, in contrast to most existing studies that concentrate on a single equation framework

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Year of publication:	1996
Authors:	Hoffman, Dennis L. ; Rasche, Robert H.
Publisher:	Dordrecht : Springer Netherlands
Subject:	Geldnachfrage \| Money demand \| Kointegration \| Cointegration \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory

Extent:	Online-Ressource (288p) online resource
Type of publication:	Book / Working Paper
Language:	English
Notes:	1 Background2 The Development and Failures of the Empirical Literature on the Demand for Money -- 2.1 Some Equilibrium Money Demand Studies -- 2.2 Partial Adjustment Models -- 2.3 Specification Testing - The U.S. Experience -- 2.4 Another Look at U.S. Money Demand -- 3 Identification, Estimation, and Inference in Cointegrated Systems -- 3.1 Nonstationary and the Estimation of Money Demand Models -- 3.2 Nonstationarity in the Money Demand Model: Is There Evidence of Integration or Cointegration? -- 3.3 Identification of Long-Run Parameters from Knowledge of Cointegration Rank -- 3.4 Identifying the Source of Nonstationarity -- 3.5 Estimation and Inference Regarding Long-Run Parameters -- 3.6 Testing Constancy of the Cointegration Space -- 3.7 Conclusion -- 4 A Framework for Structural and Dynamic Analysis in Cointegrated Systems -- 4.1 Identification -- 4.2 Identification in the Structural VECM -- 4.3 Assessing Structural VAR Specifications -- 4.4 Weak Exogeneity in Cointegrated Structural VAR Models -- 4.5 Summary -- 5 A Prototype Economic Model Characterized by Cointegration -- 5.1 Solution of the Rational Expectations Model -- 5.2 The Vector Error Correction Representation -- 5.3 Moving Average (Wold) Representation -- 5.4 Impulse Response Functions -- 5.5 Reduced Model VECM -- 6 Analysis of Three Variable VECM Models Including Demand Functions for Real Balances -- 6.1 The Friedman-Kuttner Challenge -- 6.2 Estimation, Testing, and Analysis -- 6.3 Time Disaggregation -- 6.4 Analysis of Dynamic Responses to Permanent Shocks -- 6.5 Summary -- 7 Higher Dimensional VECM Models with Long-Run Money Demand Functions -- 7.1 Real Balances, Inflation, Real Output and Interest Rates -- 7.2 Real Balances, Output, Short and Long Term Rates -- 7.3 Conclusions -- 8 Combining Term Structure and Fisher Effects -- 8.1 Recursive Estimates of Five Variable VECMs -- 8.2 Dynamic Analysis -- 8.3 Summary and Conclusions -- Appendix: Some Extensions of the Goodfriend Errors-In Variables Model -- A.1 Multiple Regressors with Permanent and Transitory Components -- A.2 Persistence in the Disturbance Shocks -- A.3 Differenced Equations -- Author Index.
ISBN:	978-94-009-1814-6 ; 978-94-010-7308-0
Other identifiers:	10.1007/978-94-009-1814-6 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013522103