A European money demand function

Artis, Michael J.; Bladen‐Hovell, Robin; Zhang, Wenda

doi:10.1017/cbo9780511599194.010

Cited by 36 publications

(25 citation statements)

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“…Moreover, there are some signs of stability, as indicated by the Hansen tests, and, finally the long-run coefficient is very similar to the multivariate estimate, so that income elasticity is very close to one, again reaching conclusions similar to those found in the literature, cf. Bekx and TuUio (1989) or Artis, Bladen-Hovell, and Zhang (1993) for EMS cotmtries.…”

Section: M1mentioning

confidence: 99%

Long run money demand in the EU: Evidence for area-wide aggregates

Fagan¹,

Henry²

1998

Empirical Economics

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Long-run properties of EU-wide money aggregates are analysed.For each of the three aggregates considered -Currency, M1 and M3H -it is possible to obtain cointegrating relationships with GDP and interest rates (long or short term market interest rates). Results are not improved when traditional aggregates, obtained by aggregating existing national aggregates, are extended by the inclusion of various measures of Cross-Border Holdings. Specific attention is also paid to aggregation issues and the relative performance of area-wide and national equations. The results show that aggregation bias is not a major problem and that the relatively good area-wide performance is largely a consequence of a statistical averaging effect.

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Section: M1mentioning

confidence: 99%

Long run money demand in the EU: Evidence for area-wide aggregates

Fagan¹,

Henry²

1998

Empirical Economics

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“…Many empirical studies have utilized the standard methods to analyze the stability of money demand for the industrialised and developing countries. Some recent works are Ball (2001) for USA, Lutkepohl and Wolters (1998) for Germany, Haug and Lucas (1996) for Canada, Hoffman et al (1995) for five Industrial OECD countries, Artis et al (1993) and Monticelli and Strauss-Kahn (1993) for seven EU countries, Rao and Kumar (2009) for 14 Asian countries, BahmaniOskooee and Rehman (2005) for seven Asian countries, Ghartey (1998) for Ghana, Arrau et al (1995) for ten developing countries and Kutan (1993 &1994) for China.…”

mentioning

confidence: 99%

Error-correction based panel estimates of the demand for money of selected Asian countries with the extreme bounds analysis

Kumar

Rao

2012

Economic Modelling

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This paper uses the extreme bounds analysis (EBA) of Leamer (1983 to analyze the robust determinants of the demand for money in a panel of 17 Asian countries for the period 1970 to 2009. These robust determinants are found to be unit root variables. Therefore, cointegration between these variables is tested with a recent time series panel method developed by Westerlund (2007). This method uses the error-correction formulation and has more power against the null of no cointegration.The results show that there is a well-defined long-run demand for money. Using the lagged error correction term from the estimated cointegrating equation, the short-run dynamic relationships are estimated. This paper, thus, suggests some useful guidelines to estimate other relationships with panel data.

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“…Studies that estimated unconstrained income elasticities include Artis et al (1993) who identified significant income elasticities around 1.2 for M1 and M2 demand for Belgium, Denmark, France, Germany, Ireland, Italy and the Netherlands between 1979 and 1990; similar estimates were attained by Monticelli and Strauss-Kahn (1993). The often found income elasticity above unity is explained within the standard portfolio approach by the neglect of a wealth variable in the cointegrating vector.…”

Section: Advanced Countriesmentioning

confidence: 90%