International Evidence on Long Run Money Demand

Luca Benati · Robert Lucas · Juan Pablo Nicolini · Warren E. Weber

22 citations0/0 files storedNational Bureau of Economic Research

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

Abstract

We explore the long-run demand for M1 based on a dataset comprising 31 countries since 1851.In many cases cointegration tests identify a long-run equilibrium relationship between either velocity and the short rate, or M1, GDP, and the short rate.Evidence is especially strong for the United States and the United Kingdom over the entire period since World War I, and for highinflation countries such as Israel.For low-inflation countries the data often prefer the specification in the levels of velocity and the short rate originally estimated by Selden (1956) and Latané (1960) to either the log-log, or the semi-log ones.This is especially clear for the United States.

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References

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