THE DEMAND FOR M1 IN THE USA, 1960-1988

• 成果类型: Article
• 署名作者: BABA, Y; HENDRY, DF; STARR, RM
• 署名单位: University of Oxford; University of California System; University of California San Diego
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.2307/2297924
• 发表日期: 1992
• 页码: 25-61
• 关键词: autoregressive time-series; interest-rate volatility; Money demand; regression relationships; error correction; united-kingdom; cointegration; econometrics; models; tests

摘要

Estimated U.S. M1 demand functions appear unstable, regularly breaking down, over 1960-1988 (e.g. missing money, great velocity decline, M1-explosion). We propose a money demand function whose arguments include inflation, real income, long-term bond yield and risk, T-bill interest rates, and learning curve weighted yields on newly introduced instruments in M1 and non-transactions M2. The model is estimated in dynamic error-correction form; it is constant and, with an equation standard error of 0.4%, variance-dominates most previous models. Estimating alternative specifications explains earlier breakdowns, showing the model's distinctive features to be important in accounting for the data.