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The Demand for Broad Money in Norway, 1969-1993

Eitrheim, Oyvind - 2010

Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway …

Persistent link: https://www.econbiz.de/10014215622

A cointegration model of money and wealth

Assenmacher, Katrin; Beyer, Andreas - 2018

Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy...

Persistent link: https://www.econbiz.de/10011974516

A cointegration model of money and wealth

Assenmacher, Katrin; Beyer, Andreas - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012150128

A Cointegration Model of Money and Wealth

Assenmacher, Katrin - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012844181

Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3

Warne, Anders - 2021

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …

Persistent link: https://www.econbiz.de/10013317369

An Econometric Analysis of Monthly Demand for Money in India

Jariwala, Vijay - 2017

cointegration tests on host of various money supply aggregates for monthly time series from April, 1990-91 to July, 2013-14 along …

Persistent link: https://www.econbiz.de/10012943326

A Money Demand System for German M3

Lütkepohl, Helmut; Wolters, Jürgen - 1998

A small macroeconomic model is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest...

Persistent link: https://www.econbiz.de/10014215614

Explaining inflation with a classical dichotomy model and switching monetary regimes : Mexico 1932-2013

Garcés Díaz, Daniel G. - 2017

This paper applies a novel approach to study the impact of different shocks on the price level. It uses a classical dichotomy model with monetary policy regime shifts at known dates. First, there was a regime dominated by money, afterwards a regime driven by the exchange rate and a third one...

Persistent link: https://www.econbiz.de/10011759587

The long-run demand for M2 reconsidered

Altermatt, Sophie - 2018

first half of the 19th century. The evidence from cointegration tests suggests that a long-run equilibrium relationship for …) cointegration tests produce strong evidence in favor of a stable long-run money demand. Evidence for Israel and Lebanon is weaker … demand or it is mixed across money demand specifications and/or type of cointegration test. …

Persistent link: https://www.econbiz.de/10011961332

Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix

Bun, Maurice J. G. - 2001

Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models with general covariancestructure. The focus is on...

Persistent link: https://www.econbiz.de/10011313930