The effect of regime shifts on the long-run relationships for Swedish money demand

R. Scott Hacker · Abdulnasser Hatemi‐J

11 citations0/0 files storedApplied Economics

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Monetary Policy and Economic Impact Economic Theory and Policy Economic theories and models

Abstract

When the possibility of an unknown structural break is allowed and it is taken into account we find a significant long-run relationship between Swedish money demand and its determinants that is not found when no break is considered. The estimated elasticities show that money demand is more responsive to its determinants in the period after the break than before. Possible underlying reasons for the occurrence of this break and its implications are explained.

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1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1987Time Series Regression with a Unit Root 1996Residual-based tests for cointegration in models with regime shifts 1990Asymptotic Properties of Residual Based Tests for Cointegration 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

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