A Closer Look at Long-run U.S. Money Demand: Linear or Nonlinear Error-Correction with M0, M1, or M2?
We study annual U. S. data from 1869 or 1900 to 1999. We find evidence for a well-specified and stable model of money demand with data from 1946 to 1999. We carry out diagnostic and stability tests, including linearity tests. A linear error-correction model with the monetary base performs better tha...
| Publicado en: | Economic Inquiry Vol. 45; no. 2; pp. 363 - 377 |
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| Autores principales: | , |
| Formato: | Artículo |
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Wiley-Blackwell
April 2007
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| Acceso en línea: | Ver este registro en EBSCOhost |
| Sumario: | We study annual U. S. data from 1869 or 1900 to 1999. We find evidence for a well-specified and stable model of money demand with data from 1946 to 1999. We carry out diagnostic and stability tests, including linearity tests. A linear error-correction model with the monetary base performs better than a model with Ml. A specification with M2 is not supported. We use real gross national product as the scale variable and a short-term interest rate as the opportunity cost measure. We estimate an income elasticity of 0.86 and an interest rate elasticity of-0.44 for the monetary base (JEL E41) Reprinted by permission of the publisher. |
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