Cointegration, Financial Innovation and Modelling the Demand for Money in Italy*

Modeling Monetary Trends in Italy Using Historical Data: The Demand for Broad Money 1861—1990

“…The issue of stability has proved to be a particular problem for the 1980s. This was noted in Dooley and Spinelli 119891, and became the focus of a number of subsequent studies by Muscatelli and Papi [1990], Muscatelli 119911, Bagliano and Favero [1992], and . Clearly, it would be interesting to examine whether our estimated model is structurally stable throughout the sample period.…”

Adjustment costs and nonlinear dynamics in the demand for money: Italy, 1861-1991

“…While a number of researchers have been recently interested in modelling the demand for money in Italy over relatively shorter sample periods (see-inter alios- Muscatelli, 1990;Muscatelli and Papi, 1990;Bagliano and Favero, 1992;Angelini et al, 1994;Rinaldi and Tedeschi, 1996), the present study may only be compared with the contributions of Spinelli (1980) and Muscatelli and Spinelli (1996), who employ historical data for a similar sample period.…”

The stability of money demand in the long-run: Italy 1861–2011

“…In case of M2, CUSUMSQ The stability of money demand in the long-run: Italy 1861… 239 highlights possible instability of the relation in the period 1970-1998. The instability of money demand in Italy for the period 1970-1990 is a recurrent result in the literature (see Muscatelli and Papi 1990). With reference to M2, this can be explained by the sudden increase in money demand for bank deposits before the 1970s, as the Italian banking system evolved substantially, and by the introduction in the 1970s of the new types of borrowing instruments by the monetary authorities.…”

“…Different methodologies and results are also presented by Gennari (1999), Bagliano (1996), Rinaldi and Tedeschi (1996), and . According to Muscatelli and Papi (1990) money demand instability in Italy can be based in the late changes in the financial system occurred between the 1970s and 1990s. The demand for money in relationship with stock market fluctuations, in the period , is examined by Caruso (2006).…”