The stability of long-run money demand in five industrial countries

Dennis Hoffman; Robert H. Rasche; Margie A. Tieslau

doi:10.1016/0304-3932(95)01189-U

The stability of long-run money demand in five industrial countries

Dennis Hoffman, Robert H. Rasche, Margie A. Tieslau

Economics

Research output: Contribution to journal › Article › peer-review

101 Scopus citations

Abstract

This study provides strong evidence for the stability of long-run demand functions for narrowly defined money (M1) in five industrial countries (U.S., Japan, Canada, U.K., and West Germany) using post-war quarterly data. Evidence of stability is examined using two different estimation techniques and through a formal test of parameter constancy designed specifically for cointegrating vectors. In the majority of these countries, the key to stability is the imposition of a unitary long-run income elasticity that is rarely rejected by the data.

Original language	English (US)
Pages (from-to)	317-339
Number of pages	23
Journal	Journal of Monetary Economics
Volume	35
Issue number	2
DOIs	https://doi.org/10.1016/0304-3932(95)01189-U
State	Published - Apr 1995

Keywords

Cointegration
Equilibrium money demand
Velocity

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/0304-3932(95)01189-U

Cite this

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abstract = "This study provides strong evidence for the stability of long-run demand functions for narrowly defined money (M1) in five industrial countries (U.S., Japan, Canada, U.K., and West Germany) using post-war quarterly data. Evidence of stability is examined using two different estimation techniques and through a formal test of parameter constancy designed specifically for cointegrating vectors. In the majority of these countries, the key to stability is the imposition of a unitary long-run income elasticity that is rarely rejected by the data.",

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note = "Funding Information: The authors wish to acknowledge comments and helpful suggestions from James Stock, Soren Johansen, Katarina Juselius, and Bill Crowder. The first author acknowledges support from the Summer Research Program at Arizona State University and the Fulbright Foundation. Some of the research for this study was conducted during Dennis Hoffman's visit at Lunds Universitet.",

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AU - Rasche, Robert H.

AU - Tieslau, Margie A.

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AB - This study provides strong evidence for the stability of long-run demand functions for narrowly defined money (M1) in five industrial countries (U.S., Japan, Canada, U.K., and West Germany) using post-war quarterly data. Evidence of stability is examined using two different estimation techniques and through a formal test of parameter constancy designed specifically for cointegrating vectors. In the majority of these countries, the key to stability is the imposition of a unitary long-run income elasticity that is rarely rejected by the data.

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KW - Equilibrium money demand

KW - Velocity

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The stability of long-run money demand in five industrial countries

Abstract

Keywords

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