Money demand in China and time-varying cointegration
- (When) Should cointegrating regressions be detrended? The case of a German money demand function. Hassler, Uwe // Empirical Economics;1999, Vol. 24 Issue 1, p155
Abstract. If an economic relationship is superimposed by a linear time trend, the regression without detrending is misspecified. The estimators of such a regression do not converge to the true parameter values. First, the asymptotic limit arising from such misspecified regressions is...
- Money and Financial Markets. // Economic Trends (07482922);Dec2002, p5
Focuses on the effect of a decline in interest rates on the opportunity cost of holding monetary instruments in the U.S. Measurement of the demand for money; Stabilization of short-term interest rates and opportunity cost; Assessment of stock market volatility.
- The Values of the Determinants and Tests of Stability of the Money Demand Function of the United States. Arize, Augustine C.; Harris, Peter; Kasibhatla, Krishna M.; Malindretos, Ioannis N.; Scoullis, Moschos // Review of Business;Summer2012, Vol. 32 Issue 2, p99
Using multivariate cointegration methodology, this paper examines the long-run stability of the U.S. money demand function using both nominal and real M1 and M2 monetary aggregates. The estimated results, based on the Johansen cointegration technique, found evidence that the U.S. M1 and M2...
- INTEREST-ELASTICITY OF DEMAND FOR MONEY. Laumas, P.S.; Laumas, G.S. // Southern Economic Journal;Jul69, Vol. 36 Issue 1, p90
Examines the role of interest rate on the demand function for money in Canada. Stage of money balance; Incorporation of lags in economic analysis; Validity of the econometric model.
- William D. Nordhaus. // Brookings Papers on Economic Activity;1984, Issue 2, p330
The article presents the author's comments on the article "Perspectives on High World Real Interest Rates," by Olivier J. Blanchard and Lawrence H. Summers, that focuses on the reasons for the high real interest rates. He appreciates the balanced analysis of interest rates in the U.S., given in...
- A COINTEGRATION TEST OF THE IMPACT OF FOREIGN EXCHANGE RATES ON U.S. STOCK MARKET PRICES. Ratner, Mitchell // Global Finance Journal;Fall93, Vol. 4 Issue 2, p93
Examines the effect of U.S. dollar exchange rates on U.S. stock prices using cointegration analysis. Estimates from Ordinary Least Squares regression; Analysis of results of cointegrating regressions; Evidence of market efficiency.
- The Demand for Deposits and Risk Sensitivity: The Case for Greece, 1955-1980. Andrikopoulos, A. A.; Brox, J. A. // Empirical Economics;1986, Vol. 11 Issue 4, p197
The purpose of this paper is to estimate the demand for deposits in Greece, using a constrained simultaneous equation system similar in principle to the Linear Expenditure System. The procedure allows us to calculate both the wealth and interest rate elasticities of demand for the various types...
- Budget Deficits, Capital Flows, and Long-Term Interest Rates: Cointegration Findings for the United Kingdom. Cebula, Richard J. // International Advances in Economic Research;Nov99, Vol. 5 Issue 4, p489
This study uses cointegration tools to decide whether a long-term relationship exists between budget deficits and nominal long-term interest rates in the United Kingdom, as previous regression estimates have implicitly assumed. Based on maximum eigenvalue, trace, and likelihood ratio tests, as...
- An Empirical Investigation on the Determinants of the Saving-Investment Interaction. Han Gur, Timur; Erden, Lutfi // Panoeconomicus;Sep2011, Vol. 58 Issue 3, p343
This study aims to shed light on the Feldstein-Horioka (F-H) puzzle, making use of the potential explanations put forward in the related literature. To this end, the study takes a distinct empirical route, combining a cointegration technique and regression analysis. In the first step, we obtain...