REGRESSION DIRECTION AND WEAK EXOGENEITY - DETERMINING THE CONDITIONING PROPERTIES OF US MONEY DEMAND-FUNCTIONS

• 成果类型: Article
• 署名作者: FISCHER, AM; NICOLETTI, G
• 署名单位: Organisation for Economic Co-operation & Development (OECD)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(93)90003-X
• 发表日期: 1993
• 页码: 213-235
• 关键词: demand for money; cointegration; weak exogeneity

摘要

The absence of testing for weak exogeneity in money demand has often led to stark conditioning claims regarding the validity of price equations. This paper uses the Johansen procedure to explore the conditioning properties of money demand systems for nonborrowed reserves, M1, and M2. Our results show that irrespective of the specification of the cointegrating relation, a feedback mechanism enters the equation for money. The opposite, however, is not true for the price equations. The results also cast a warning for single-equation models of money demand in that weak exogeneity is sensitive to how the system is defined.