INTEREST RATE SEASONALITY AND THE SPECIFICATION OF MONEY DEMAND FUNCTIONS.
This paper attempts to test the sensitivity of the interest rate coefficient in money demand functions to the use of adjusted and unadjusted data and particular methods of seasonal adjustment. The results suggest that the failure to account for interest rate seasonality when estimating a money deman...
| Publicado en: | Review of Economics & Statistics Vol. 57; no. 2; pp. 252 - 256 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
MIT Press
May75
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| Sumario: | This paper attempts to test the sensitivity of the interest rate coefficient in money demand functions to the use of adjusted and unadjusted data and particular methods of seasonal adjustment. The results suggest that the failure to account for interest rate seasonality when estimating a money demand function is not critical. It has been argued that this finding is to be expected if money demand responds similarly to seasonal and cyclical interest rate movements. The relationship between the interest rate and money demand. Researchers are cautioned not to generalize this result to other relationships without explicitly testing for the effects of seasonality. The discussions that have arisen in the extensive investigations of the demand for money generally have centered on the selection of an appropriate constraint variable and the choice between alternative short-term and long-term interest rates. While nearly all formulations of the demand for money do include an interest rate, an area of neglect in the empirical literature has been the question of whether the interest rate variable chosen should be adjusted to account for seasonality. |
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