THE STABILITY OF LONG-RUN MONEY DEMAND IN 5 INDUSTRIAL-COUNTRIES

• 成果类型: Article
• 署名作者: HOFFMAN, DL; RASCHE, RH; TIESLAU, MA
• 署名单位: Michigan State University; Arizona State University; Arizona State University-Tempe; University of North Texas System; University of North Texas Denton; Lund University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(95)01189-U
• 发表日期: 1995
• 页码: 317-339
• 关键词: EQUILIBRIUM MONEY DEMAND; velocity; cointegration

摘要

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.