Aggregate money demand functions in five industrial countries: Are they cointegrated?

Detalhes bibliográficos
Autor(a) principal: Caporale, Guglielmo Maria
Data de Publicação: 2001
Outros Autores: Hall, Stephen, Urga, Giovanni, Williams, Geoffrey
Tipo de documento: Artigo
Idioma: por
Título da fonte: Estudos Econômicos (São Paulo)
Texto Completo: https://www.revistas.usp.br/ee/article/view/117745
Resumo: In this paper we take issue with the claim made in some recent empirical studies that real money balances, real income and interest rates are cointegrated, or, alternatively, that velocity is a stationary variable, which is in contrast with the well known stylised facts about the behaviour of monetary aggregates in theUKand other industrial countries. We show that in fact this surprising result can be explained away in terms of statistical bias. It is only because in these studies inference is based on a mis-specified VAR that the null of no cointegration can be rejected - the standard result that money demand functions exhibit instability and that velocity is a non-stationary variable is confirmed when the analysis is carried out within a correctly specified system. 
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spelling Aggregate money demand functions in five industrial countries: Are they cointegrated?demanda por moedavelocidadecointegraçãomoney demandvelocitycointegrationIn this paper we take issue with the claim made in some recent empirical studies that real money balances, real income and interest rates are cointegrated, or, alternatively, that velocity is a stationary variable, which is in contrast with the well known stylised facts about the behaviour of monetary aggregates in theUKand other industrial countries. We show that in fact this surprising result can be explained away in terms of statistical bias. It is only because in these studies inference is based on a mis-specified VAR that the null of no cointegration can be rejected - the standard result that money demand functions exhibit instability and that velocity is a non-stationary variable is confirmed when the analysis is carried out within a correctly specified system. Neste artigo discute-se o resultado obtido em alguns estudos empíricos recentes de que saldos monetários reais, renda real e taxa de juros são cointegrados ou, alternativamente, que a velocidade é uma variável estacionária, o que está em contraste com os fatos estilizados bem conhecidos sobre os agregados monetários no Reino Unido e outros países industrializados. Mostra-se que de fato este resultado surpreendente se deve a um viés estatístico. Somente porque nestes estudos inferência é baseada num VAR mal especificado é que possível rejeitar a nula de não cointegração. O resultado padrão de que as funções de demanda por moeda exibem instabilidade e que a velocidade é uma variável não estacionária é confirmada quando a análise é feita usando-se um sistema corretamente especificado.Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade2001-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ee/article/view/117745Estudos Econômicos (São Paulo); v. 31 n. 2 (2001); 395-4231980-53570101-4161reponame:Estudos Econômicos (São Paulo)instname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/ee/article/view/117745/115399Copyright (c) 2001 Guglielmo Maria Caporale, Stephen Hall, Giovanni Urga, Geoffrey Williams http://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessCaporale, Guglielmo MariaHall, StephenUrga, GiovanniWilliams, Geoffrey2021-02-02T16:42:19Zoai:revistas.usp.br:article/117745Revistahttps://www.revistas.usp.br/eePUBhttps://www.revistas.usp.br/ee/oaiestudoseconomicos@usp.br||aldrighi@usp.br1980-53570101-4161opendoar:2021-02-02T16:42:19Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Aggregate money demand functions in five industrial countries: Are they cointegrated?
title Aggregate money demand functions in five industrial countries: Are they cointegrated?
spellingShingle Aggregate money demand functions in five industrial countries: Are they cointegrated?
Caporale, Guglielmo Maria
demanda por moeda
velocidade
cointegração
money demand
velocity
cointegration
title_short Aggregate money demand functions in five industrial countries: Are they cointegrated?
title_full Aggregate money demand functions in five industrial countries: Are they cointegrated?
title_fullStr Aggregate money demand functions in five industrial countries: Are they cointegrated?
title_full_unstemmed Aggregate money demand functions in five industrial countries: Are they cointegrated?
title_sort Aggregate money demand functions in five industrial countries: Are they cointegrated?
author Caporale, Guglielmo Maria
author_facet Caporale, Guglielmo Maria
Hall, Stephen
Urga, Giovanni
Williams, Geoffrey
author_role author
author2 Hall, Stephen
Urga, Giovanni
Williams, Geoffrey
author2_role author
author
author
dc.contributor.author.fl_str_mv Caporale, Guglielmo Maria
Hall, Stephen
Urga, Giovanni
Williams, Geoffrey
dc.subject.por.fl_str_mv demanda por moeda
velocidade
cointegração
money demand
velocity
cointegration
topic demanda por moeda
velocidade
cointegração
money demand
velocity
cointegration
description In this paper we take issue with the claim made in some recent empirical studies that real money balances, real income and interest rates are cointegrated, or, alternatively, that velocity is a stationary variable, which is in contrast with the well known stylised facts about the behaviour of monetary aggregates in theUKand other industrial countries. We show that in fact this surprising result can be explained away in terms of statistical bias. It is only because in these studies inference is based on a mis-specified VAR that the null of no cointegration can be rejected - the standard result that money demand functions exhibit instability and that velocity is a non-stationary variable is confirmed when the analysis is carried out within a correctly specified system. 
publishDate 2001
dc.date.none.fl_str_mv 2001-06-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.revistas.usp.br/ee/article/view/117745
url https://www.revistas.usp.br/ee/article/view/117745
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ee/article/view/117745/115399
dc.rights.driver.fl_str_mv Copyright (c) 2001 Guglielmo Maria Caporale, Stephen Hall, Giovanni Urga, Geoffrey Williams
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2001 Guglielmo Maria Caporale, Stephen Hall, Giovanni Urga, Geoffrey Williams
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
publisher.none.fl_str_mv Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
dc.source.none.fl_str_mv Estudos Econômicos (São Paulo); v. 31 n. 2 (2001); 395-423
1980-5357
0101-4161
reponame:Estudos Econômicos (São Paulo)
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Estudos Econômicos (São Paulo)
collection Estudos Econômicos (São Paulo)
repository.name.fl_str_mv Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)
repository.mail.fl_str_mv estudoseconomicos@usp.br||aldrighi@usp.br
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