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Several authors have suggested that, instead of being unit root processes, some macro variables may actually be stationary around nonlinear deterministic trends (Perron, 1989, 1990, Bierens, 1997). This paper investigates this for four variables in a standard money demand specification, using...
Persistent link: https://www.econbiz.de/10005579845
Since World War I, M1 velocity has been, to a close approximation, the permanent component of the short-term nominal rate. This logically implies that, under monetary regimes which cause inflation to be I(0), permanent fluctuations in M1 velocity uniquely reflect, to a close approximation,...
Persistent link: https://www.econbiz.de/10012112073
Since World War II, permanent interest rate shocks have driven nearly all of the fluctuations of U.S. M1 velocity, which is cointegrated with the short rate, and most of the long-horizon variation in the velocity of M2-M1. Permanent velocity shocks specific to M2-M1, on the other hand, have...
Persistent link: https://www.econbiz.de/10012112074
Since World War I, M1 velocity has been, to a close approximation, the permanent component of the short-term nominal rate. This logically implies that, under monetary regimes which cause inflation to be I(0), permanent fluctuations in M1 velocity uniquely reflect, to a close approximation,...
Persistent link: https://www.econbiz.de/10011824315
Since World War II, permanent interest rate shocks have driven nearly all of the fluctuations of U.S. M1 velocity, which is cointegrated with the short rate, and most of the long-horizon variation in the velocity of M2-M1. Permanent velocity shocks specific to M2-M1, on the other hand, have...
Persistent link: https://www.econbiz.de/10011824316
This paper provides empirical evidence in favor of the hypothesis that the secular price increase in the 16th century is mainly caused by money supply developments as the discovery of new mines in Latin America. First we review price developments for several European countries over the 16th...
Persistent link: https://www.econbiz.de/10003666993
Persistent link: https://www.econbiz.de/10008909225
Persistent link: https://www.econbiz.de/10009674356
Persistent link: https://www.econbiz.de/10010356782
This paper investigates the usefulness of the money demand relationship in times of unconventional monetary policies by cointegration methods. In contrast to the bulk of the literature, evidence in favour of a stable long run money demand function is presented both for the US and the euro area....
Persistent link: https://www.econbiz.de/10010358869