Cointegration and structural change: an application to the U.S. demand for money.
I perform the cointegration tests for the trivariate model of real monetary aggregates, real personal income, and short-term interest rate. I find the existence of a long-run relationship among these three variables. To check the stability of a long-run money demand relationship, I implement a rank...
| Publicado en: | Economic Inquiry Vol. 40; no. 1; pp. 91 - 102 |
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| Formato: | Artículo |
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Wiley-Blackwell
January 2002
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=510220495&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 510220495 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00952583 EIQ jtl: Economic Inquiry issn: 00952583 maglogo: N pubinfo: dt: January 2002 vid: 40 iid: 1 pid: 480 pub: Wiley-Blackwell artinfo: ui: 510220495 10.1093/ei/40.1.91 ppf: 91 ppct: 11 formats: fmt: – @attributes: type: T – @attributes: type: P size: 649KB tig: atl: Cointegration and structural change: an application to the U.S. demand for money. aug: au: Oh, Wankeun su: Demand for money Ranking (Statistics) Money United States sug: subj: United States Demand for money Ranking (Statistics) Money ab: I perform the cointegration tests for the trivariate model of real monetary aggregates, real personal income, and short-term interest rate. I find the existence of a long-run relationship among these three variables. To check the stability of a long-run money demand relationship, I implement a rank constancy test and CUSUM test. The test results show that real M1 is relatively more stable than other aggregates, but structural change occurred during the 1970s and early 1980s. This is consistent with prior research on money demand. Reprinted by permission of the publisher. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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