A closer look at long-run US money demand: Linear or nonlinear error-correction with M0, M1, or M2?

被引：12
|
作者：
Haug, Alfred A.
Tam, Julie
机构：
[1] Univ Otago, Dept Econ, Dunedin, New Zealand
[2] SIA, Dept Trade & Ind, London SW1W 9SS, England
来源：
ECONOMIC INQUIRY | 2007年 / 45卷 / 02期
关键词：
D O I：
10.1111/j.1465-7295.2006.00007.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study annual U. S. data from 1869 or 1900 to 1999. We find evidence for a well specified and stable model of money demand with data from 1946 to 1999. We carry out diagnostic and stability tests, including linearity tests. A linear error-correction model with the monetary base performs better than a model with M1. A specification with M2 is not supported. We use real gross national product as the scale variable and a short-term interest rate as the opportunity cost measure. We estimate an income elasticity of 0.86 and an interest rate elasticity of -0.44 for the monetary base.
引用
收藏
页码：363 / 376
页数：14
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