Results of a study of the stability of cointegrating relations comprised of broad monetary aggregates

• 成果类型: Article
• 署名作者: Carlson, JB; Hoffman, DL; Keen, BD; Rasche, RH
• 署名单位: Arizona State University; Arizona State University-Tempe; Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University of Virginia; Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(00)00029-5
• 发表日期: 2000
• 页码: 345-383
• 关键词: Money demand; VECM

摘要

We find strong evidence of a stable 'money demand' relationship for MZM and M2M through the 1990s, Though the M2 relation breaks down somewhere around 1990, evidence has been accumulating that the disturbance is well characterized as a permanent upward shift in M2 velocity, which began around 1990 and was largely over by 1994. Taken together, our results support the hypothesis that households permanently reallocated a portion of their wealth from time deposits to mutual funds. Although this reallocation may have been induced by depository restructuring, we argue that the substitution could be explained by appropriately measured opportunity cost. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: E41.