Keletkutatás

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

Abstract

The demand for money (M1) for the US is estimated with annual data from 1960 to 2008 and its stability is analysed with the extended Gregory and Hansen (1996b Gregory, AW and Hansen, BE. 1996b. Tests for cointegration in models with regime and trend shifts. Oxford Bulletin of Economics and Statistics, 58: 555–9. [Crossref], [Web of Science ®] , [Google Scholar]) test. In addition to estimating the canonical specification, alternative specifications are estimated which include a trend and additional variables to proxy the cost of holding money. Results with our extended specification showed that there has been a structural change in 1998 and the constraint that income elasticity is unity could not be rejected by subsample estimates. Short run dynamic adjustment equations are estimated with the lagged residuals from the Fully Modified Ordinary Least Squares (FMOLS) estimates of cointegrating equation and also with the General to Specific (GETS) approach.

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References

1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1996Residual-based tests for cointegration in models with regime shifts 1991Estimating Long-Run Economic Equilibria 1992Money, Income, Prices and Interest Rates 1996PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts 1976The Case of the Missing Money 1982The Search for a Stable Money Demand Function: A Survey Of the Post-1973 Literature

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