Was money demand in the USA unstable before 1982? An application of the sup-F stability test

Greene, Clinton A.

doi:10.1016/s0148-6195(02)00102-9

Cited by 2 publications

(1 citation statement)

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“…Applying modern econometric technique of time series, cointegration test, and the error-correction model (ECM) has recently turned into the most frequent econometric approach in the stability of the money demand function literature for developed counties. Examples include Muscatelli and Spinelli (2000) for Italy, Karfakis and Sidiropoulos (2000) for Greece, Greene (2002) for the United States, Bahmani-Oskooee and Chomsisengphet (2002) for 11 developed countries, Nagayasu (2003) for Japan, and Hacker and Hatemj-J (2005) for Sweden.…”

Section: Introductionmentioning

confidence: 99%

Stability of money demand function revisited in China

Chien

2008

Applied Economics

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As China's economic reforms have undergone significant structural changes after 1979, it has been rather difficult to formulate a stable money demand function over the period following that year. While previous literature on the long-run relationship of money demand in China shows the existence of stable money demand, this article revisits the stability of the China money demand function over the period after 1979. To employ the unit root tests and the cointegration tests with structural break, the empirical evidence demonstrates that economic and financial deregulation did affect the stability of demand for money in China over the period 1977 to 2002. Moreover, the estimated long-run income and interest elasticity are respectively 1.01 (1.11) and -0.14 (-0.08) using the real M1 (M2) equation. In addition, real income and the interest rate are found to be weakly exogenous. We overall do find structural breakpoints mainly in 1980 and 1993, and they look to match clearly with corresponding critical financial and economic incidents

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Section: Introductionmentioning

confidence: 99%

Stability of money demand function revisited in China

Chien

2008

Applied Economics

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Revisiting the US money demand function: an application of the Lagrange multiplier structural break unit root test and the bounds test for a long-run relationship

Narayan¹

2008

Applied Economics

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In this article, we examine the issue of a levels relationship and stability of the US money demand function over the period 1959:01 to 2004:02. We use the Lagrange multiplier structural break unit root test and the bounds testing approach to a long-run relationship in levels of the variables, namely real money demand, nominal interest rate and real income. We find greater evidence for a long-run relationship in levels and stability of the US money demand function when we use M2 as a proxy for money demand. However, we find little evidence for a long-run relationship between M1 and M2 with their determinants for the recent period, spanning the last decade or so.

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Was money demand in the USA unstable before 1982? An application of the sup-F stability test

Cited by 2 publications

References 31 publications

Stability of money demand function revisited in China

Stability of money demand function revisited in China

Revisiting the US money demand function: an application of the Lagrange multiplier structural break unit root test and the bounds test for a long-run relationship

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