The authors use the Backus and Kehoe (1992) long, low frequency data on real GNP/GDP and money for Australia, Canada, Denmark, Germany, Italy, Japan, Norway, Sweden, the United Kingdom, and the United States to examine the long-run neutrality and superneutrality of money propositions. In doing...

In this paper the authors estimate the degree of substitutability among the services of money, checkable deposits, savings deposits, and time deposits in a quasi-homothetic translog utility framework for Canada. The four composites mentioned are formed by aggregating more basic assets such as...

This paper applies the Anderson and Blundell (1982) approach to the analysis of the demand for money and attempts to establish the nature of the relationship between Divisia money, defined from narrow to broad, and the "nested like assets" at different levels of aggregation. This is achieved by...

This article employs linear Granger causality tests and the nonlinear causality test of Baek and Brock (1992) and Hiemstra and Jones (1994), as recently modified by Diks and Panchenko (2005b), to re-examine the dynamic relation between daily Eurodollar and US certificate of deposit interest...

This paper uses daily, monthly, and quarterly observations for the Canadian dollar - US dollar nominal exchange rate over the recent flexible exchange rate period (from 2 January 1973 to 11 June 2004), and a new statistical model of exchange rate dynamics, developed by Engel and Hamilton to test...

This paper examines the times-series properties of U.S. velocity series, using E. Zivot and D. W. K. Andrews's (1992) variation of P. Perron's (1989) test. It also tests for deterministic noisy chaos using the Nychka, Ellner, Gallant, and McCaffrey (1992) nonparametric test for positivity of the...

This paper follows Lucas (2000), and Serletis and Yavari (2004) and estimates the welfare cost of inflation in Italy. It uses recent advances in the field of applied econometrics to estimate the interest elasticity of money demand in Italy and reports welfare cost estimates close to those...