Investigating Stability and Linearity of a German M1 Money Demand Function

@inproceedings{1998InvestigatingSA,
  title={Investigating Stability and Linearity of a German M1 Money Demand Function},
  author={},
  year={1998}
}
  • Published 1998
Starting from a linear error correction model (ECM) the stability and linearity of a German M1 money demand function are investigated, applying smooth transition regression techniques. Using seasonally unadjusted quarterly data from 1961(1) to 1990(2) it is found that the money demand equation considered is both linear and stable. After extending the sampling period until 1995(4) a clear structural instability due to the monetary uniication on 1 July 1990 is found and subsequently modelled. A… CONTINUE READING
Highly Cited
This paper has 26 citations. REVIEW CITATIONS

From This Paper

Topics from this paper.

References

Publications referenced by this paper.
Showing 1-10 of 28 references

Modelling economic relationships with smooth transition regressions

T Terr Asvirta
Handbook of Applied Economic Statistics • 1997
View 4 Excerpts
Highly Influenced

Speciication, Estimation, and Evaluation of Smooth Transition Autoregressive Models

T Terr Asvirta
Journal of the American Statistical Association • 1994
View 6 Excerpts
Highly Influenced

The Demand for Broad Money in the United Kingdom

N R Ericsson, D F Hendry, K M Prestwich
Scandinavian Journal of Economics • 1998

Die Geldnachfrage f ur M3: Neue Ergebnisse f ur das vereinigte Deutschland

J Wolters, H Utkepohl
ifo-Studien • 1997

A Framework for Monetary Policy under EMU

J Hagen, M J M Von, Neumann
Monetary Policy Strategies in Europe, Franz Vahlen, M unchen • 1996

Testing Parameter Constancy and Super Exogeneity in Econometric Equations

E S Jansen, T Terr, Asvirta
Oxford Bulletin of Economics and Statistics • 1996

Testing the Adequacy of Smooth Transition Autoregressive Models

T Eitrheim, Terr, Asvirta
Journal of Econometrics • 1996

The Demand for Money Functions in Europe and in Germany Before and After the Fall of the Berlin Wall Innation and Wage Behaviour in the EMS

G Tullio, E De Souza, P Giucca
The Demand for Money Functions in Europe and in Germany Before and After the Fall of the Berlin Wall Innation and Wage Behaviour in the EMS • 1996

Uberpr ufung des Geldmengenziels

Deutsche Bundesbank
Uberpr ufung des Geldmengenziels • 1996

Similar Papers

Loading similar papers…