The demand for M3 and inflation forecasts: An empirical analysis for Switzerland

Baltensperger, Ernst; Jordan, Thomas; Savioz, Marcel R.

doi:10.1007/bf02707265

Cited by 17 publications

(16 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The analysis of Kirchgässner and Wolters (2009, KW henceforth) corroborates the findings of Baltensperger, Jordan and Savioz (2001), 1 who find compelling evidence for M3 as information variable in the Swiss monetary policy process. Using data covering the period from 1983 to 2008, KW extend the analysis and estimate money demand equations for the monetary aggregates M1, M2 and M3.…”

Section: Basic Conclusion Of the Papersupporting

confidence: 75%

Discussion of “The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank” by Gebhard Kirchgässner and Jürgen Wolters

Kaufmann

2010

Swiss J Economics Statistics

View full text Add to dashboard Cite

show abstract

Section: Basic Conclusion Of the Papersupporting

confidence: 75%

Discussion of “The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank” by Gebhard Kirchgässner and Jürgen Wolters

Kaufmann

2010

Swiss J Economics Statistics

View full text Add to dashboard Cite

show abstract

“…Brüggemann, 2003), Spain (Juselius and Toro, 2006) and the United Kingdom (Dhar, Pain and Thomas, 2000;Garratt, Lee, Pesaran and Shin, 2003). Baltensperger, Jordan and Savioz (2001) estimate a cointegrated VAR model for Switzerland comprising nominal M3, real gross domestic product (GDP), the GDP deflator and the government bond yield. Imposing a longrun money demand function and using a Choleski decomposition to identify monetary policy shocks, they find that the residuals from the long-run money demand equation help forecast inflation.…”

Section: Related Literaturementioning

confidence: 99%

Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model

Assenmacher

2008

Swiss J Economics Statistics

View full text Add to dashboard Cite

Summary This paper examines the transmission of monetary policy in Switzerland using a structural cointegrated VAR model that includes real money, real output, a long and short-term interest rate, inflation, the exchange rate and a foreign interest rate as endogenous variables and oil prices as exogenous variables. The model takes account of five cointegrating relations that are interpreted as money demand, the real interest rate, the term spread, uncovered interest parity and an aggregate demand schedule. Recursive analysis confirms that the model remains stable after the adoption of a new monetary policy framework of the Swiss National Bank in 2000. After identifying a monetary policy shock, the model is used for impulse-response analysis. We obtain plausible responses of inflation and output to a monetary policy shock but despite the inclusion of money and oil prices an exchange rate puzzle remains present.

show abstract

“…Several studies have suggested that estimates of income elasticity are biased upward through the use of the incorrect scale variable for broad money demand. Kristen-Gerlach (2001) and Baltensperger et al (2001) argue that wealth rather than GDP income is the preferred variable. Others such as Peytrignet (1996) suggest that problems of a high income elasticity stem from improper price indices.…”

Section: Appendix: Time Series Results With Aggregate Cross-cantonal mentioning

confidence: 99%

“…This redefines the research agenda for Swiss money demand. If the new cross-cantonal estimates are accepted, it is no longer necessary to rely on conjectures of family decomposition (see Mulligan and Sala-i-Martin, 1992), the use of the correct scale variable (Baltensperger et al 2001), or backward bending labor supply curves (Mankiw, 1992) to justify income elasticities greater than one. While such hypotheses enjoy considerable appeal among many economists, the support for such explanations rests on weak empirical foundations in Switzerland.…”

Section: Summary and Policy Implicationsmentioning

confidence: 99%

Measuring income elasticity for Swiss money demand: What do the cantons say about financial innovation?

Fischer

2007

European Economic Review

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This discussion paper series represents research work-in-progress and is distributed with the intention to foster discussion. The views herein solely represent those of the authors. No research paper in this series implies agreement by the Study Center Gerzensee and the Swiss National Bank, nor does it imply the policy views, nor potential policy of those institutions. Terms of use: Documents in Measuring Income Elasticity for AbstractRecent time-series evidence has re-confirmed the forecasting ability of Swiss broad money. The same money demand studies and others, however, find that the income elasticity is greater than one. Such parameter estimates are difficult to reconcile with transactions demand theory. This study re-examines the estimates for income elasticity in money demand based on cross-regional evidence for Switzerland. Particular attention is given to the influence of regional financial sophistication. The cross-cantonal results find that the income elasticity lies between 0.4 and 0.6. This discrepancy between the two empirical methodologies has important consequences for the conduct of Swiss monetary policy.

show abstract

The demand for M3 and inflation forecasts: An empirical analysis for Switzerland

Abstract: E5, E41, E47,

Cited by 17 publications

References 25 publications

Discussion of “The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank” by Gebhard Kirchgässner and Jürgen Wolters

Discussion of “The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank” by Gebhard Kirchgässner and Jürgen Wolters

Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model

Measuring income elasticity for Swiss money demand: What do the cantons say about financial innovation?

Contact Info

Product

Resources

About