Aggregate money demand functions in five industrial countries: Are they cointegrated?

In this paper we take issue with the claim made in some recent empirical studies that real money balances, real income and interest rates are cointegrated, or, alternatively, that velocity is a stationary variable, which is in contrast with the well known stylised facts about the behaviour of monet...

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Autores principales:	Guglielmo Maria Caporale, Stephen Hall, Giovanni Urga, Geoffrey Williams
Formato:	article
Lenguaje:	EN PT
Publicado:	Universidade de São Paulo 2001
Materias:	money demand velocity cointegration Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/3886581c32074650a2a2468945bdacd0
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spelling	oai:doaj.org-article:3886581c32074650a2a2468945bdacd02021-11-24T16:07:39ZAggregate money demand functions in five industrial countries: Are they cointegrated?0101-41611980-5357https://doaj.org/article/3886581c32074650a2a2468945bdacd02001-06-01T00:00:00Zhttps://www.revistas.usp.br/ee/article/view/117745https://doaj.org/toc/0101-4161https://doaj.org/toc/1980-5357 In this paper we take issue with the claim made in some recent empirical studies that real money balances, real income and interest rates are cointegrated, or, alternatively, that velocity is a stationary variable, which is in contrast with the well known stylised facts about the behaviour of monetary aggregates in theUKand other industrial countries. We show that in fact this surprising result can be explained away in terms of statistical bias. It is only because in these studies inference is based on a mis-specified VAR that the null of no cointegration can be rejected - the standard result that money demand functions exhibit instability and that velocity is a non-stationary variable is confirmed when the analysis is carried out within a correctly specified system. Guglielmo Maria CaporaleStephen HallGiovanni UrgaGeoffrey WilliamsUniversidade de São Pauloarticlemoney demandvelocitycointegrationEconomics as a scienceHB71-74ENPTEstudos Econômicos, Vol 31, Iss 2 (2001)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	money demand velocity cointegration Economics as a science HB71-74
spellingShingle	money demand velocity cointegration Economics as a science HB71-74 Guglielmo Maria Caporale Stephen Hall Giovanni Urga Geoffrey Williams Aggregate money demand functions in five industrial countries: Are they cointegrated?
description	In this paper we take issue with the claim made in some recent empirical studies that real money balances, real income and interest rates are cointegrated, or, alternatively, that velocity is a stationary variable, which is in contrast with the well known stylised facts about the behaviour of monetary aggregates in theUKand other industrial countries. We show that in fact this surprising result can be explained away in terms of statistical bias. It is only because in these studies inference is based on a mis-specified VAR that the null of no cointegration can be rejected - the standard result that money demand functions exhibit instability and that velocity is a non-stationary variable is confirmed when the analysis is carried out within a correctly specified system.
format	article
author	Guglielmo Maria Caporale Stephen Hall Giovanni Urga Geoffrey Williams
author_facet	Guglielmo Maria Caporale Stephen Hall Giovanni Urga Geoffrey Williams
author_sort	Guglielmo Maria Caporale
title	Aggregate money demand functions in five industrial countries: Are they cointegrated?
title_short	Aggregate money demand functions in five industrial countries: Are they cointegrated?
title_full	Aggregate money demand functions in five industrial countries: Are they cointegrated?
title_fullStr	Aggregate money demand functions in five industrial countries: Are they cointegrated?
title_full_unstemmed	Aggregate money demand functions in five industrial countries: Are they cointegrated?
title_sort	aggregate money demand functions in five industrial countries: are they cointegrated?
publisher	Universidade de São Paulo
publishDate	2001
url	https://doaj.org/article/3886581c32074650a2a2468945bdacd0
work_keys_str_mv	AT guglielmomariacaporale aggregatemoneydemandfunctionsinfiveindustrialcountriesaretheycointegrated AT stephenhall aggregatemoneydemandfunctionsinfiveindustrialcountriesaretheycointegrated AT giovanniurga aggregatemoneydemandfunctionsinfiveindustrialcountriesaretheycointegrated AT geoffreywilliams aggregatemoneydemandfunctionsinfiveindustrialcountriesaretheycointegrated
_version_	1718414804672053248

Aggregate money demand functions in five industrial countries: Are they cointegrated?

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