Aggregate Money Demand Functions: Empirical Applications in Cointegrated Systems

Aggregate Money Demand Functions: Empirical Applications in Cointegrated Systems

by Dennis L. Hoffman, Robert H. Rasche
     
 

The econometric consequences of nonstationary data have wide-ranging implications for empirical research in economics. Specifically, these issues have implications for the study of empirical relations such as a money demand function that links macroeconomic aggregates: real money balances, real income and a nominal interest rate. Traditional monetary theory… See more details below

Overview

The econometric consequences of nonstationary data have wide-ranging implications for empirical research in economics. Specifically, these issues have implications for the study of empirical relations such as a money demand function that links macroeconomic aggregates: real money balances, real income and a nominal interest rate. Traditional monetary theory predicts that these nonstationary series form a cointegrating relation and, accordingly, that the dynamics of a vector process comprising these variables generates distinct patterns. Recent econometric developments designed to cope with nonstationarities have changed the course of empirical research in the area, but many fundamental challenges, for example the issue of identification, remain. This book is an effort to determine the consequences that nonstationarity has for the study of aggregate money demand relations.
The object of this book is to utilize the tools of modern time series analysis to determine the role of an aggregate demand for real balances in the generation of macroeconomic time series. A significant distinguishing characteristic of this research is the identification and estimation of this demand function in a multivariate framework, in contrast to most existing studies that concentrate on a single equation framework.

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Editorial Reviews

Booknews
Uses the tools of modern time series analysis to determine the role of an aggregate demand for real balances in the generation of macroeconomic time series. Undertakes the identification and estimation of the demand function in a multivariate, rather than the usual single-equation, framework. Discusses the development and failures of the empirical literature; identification, estimation, and inference; a framework for structural and dynamic analysis; a prototype economic model characterized by co- integration; three-variable and higher dimensional VECM models; and combining term structure and Fisher effects. Annotation c. Book News, Inc., Portland, OR (booknews.com)

Product Details

ISBN-13:
9789401073080
Publisher:
Springer Netherlands
Publication date:
07/31/2012
Edition description:
Softcover reprint of the original 1st ed. 1996
Pages:
266
Product dimensions:
6.14(w) x 9.21(h) x 0.59(d)

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