This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Fractional Cointegration And Aggregate Money Demand Functions

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
GUGLIELMO MARIA CAPORALE
LUIS A. GIL-ALANA
Abstract

In this paper we examine aggregate money demand relationships in five industrial countries using a two-step strategy for testing the null hypothesis of no cointegration against alternatives that are fractionally cointegrated. Fractional cointegration would imply that, although there exists a long-run relationship, the equilibrium errors exhibit slow reversion to zero, i.e. that the error correction term possesses long memory, and hence deviations from equilibrium are highly persistent. It is found that the null hypothesis of no cointegration cannot be rejected for Japan. In contrast, there is some evidence of fractional cointegration for the remaining countries, i.e. Germany, Canada, the USA and the UK (where, however, the negative income elasticity that is found is not theory-consistent). Consequently, it appears that money targeting might be the appropriate policy framework for monetary authorities in the first three countries, but not in Japan or in the UK. Copyright Blackwell Publishing Ltd and The University of Manchester, 2005.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9957.2005.00475.x
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by University of Manchester in its journal The Manchester School.

Volume (Year): 73 (2005)
Issue (Month): 6 (December)
Pages: 737-753
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:manchs:v:73:y:2005:i:6:p:737-753

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=1463-6786

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=1463-6786

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Carlos Pestana Barros & João Ricardo Faria & Luis A. Gil-Alana, 2008. "Persistence in Airline Accidents," Working Papers 2008/18, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
Statistics
Access and download statistics

Did you know? RePEc also has a blog.

This page was last updated on 2008-9-29.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.