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Money demand, adjustment costs, and forward-looking behavior

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  • Engsted, Tom
  • Haldrup, Niels

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Policy Modeling.

Volume (Year): 19 (1997)
Issue (Month): 2 (April)
Pages: 153-173

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Handle: RePEc:eee:jpolmo:v:19:y:1997:i:2:p:153-173

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Web page: http://www.elsevier.com/locate/inca/505735

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References

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  1. Engsted, Tom, 1993. "Cointegration and Cagan's Model of Hyperinflation under Rational Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 25(3), pages 350-60, August.
  2. Hafer, R W & Jansen, Dennis W, 1991. "The Demand for Money in the United States: Evidence from Cointegration Tests," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 23(2), pages 155-68, May.
  3. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
  4. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
  5. Sheffrin, S.M. & Woo, W.T., 1989. "Present Value Tests Of An Intertemporal Model Of The Current Account," Papers, California Davis - Institute of Governmental Affairs 61, California Davis - Institute of Governmental Affairs.
  6. Haldrup, Niels, 1994. "The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables," Journal of Econometrics, Elsevier, vol. 63(1), pages 153-181, July.
  7. Gregogy, A.W. & Pagan, A.R. & Smith, G.W., 1990. "Estimating Linear Quadratic Models With Integrated Processes," RCER Working Papers 247, University of Rochester - Center for Economic Research (RCER).
  8. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
  9. Domowitz, Ian & Hakkio, Craig S, 1990. "Interpreting an Error Correction Model: Partial Adjustment, Forward-Looking Behaviour, and Dynamic International Money Demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 5(1), pages 29-46, January-M.
  10. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report, Federal Reserve Bank of Minneapolis 71, Federal Reserve Bank of Minneapolis.
  11. Cuthbertson, Keith & Taylor, Mark P., 1990. "Money demand, expectations, and the forward-looking model," Journal of Policy Modeling, Elsevier, Elsevier, vol. 12(2), pages 289-315.
  12. Huang, Chao-Hsi & Lin, Kenneth S., 1993. "Deficits, government expenditures, and tax smoothing in the United States: 1929-1988," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 317-339, June.
  13. Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
  14. Keating, John W., 1990. "Identifying VAR models under rational expectations," Journal of Monetary Economics, Elsevier, vol. 25(3), pages 453-476, June.
  15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  16. Dolado, J. & Galbraith, J.W. & Banerjee, A., 1991. "Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series," Economics Series Working Papers 99111, University of Oxford, Department of Economics.
  17. Muscatelli, V A, 1988. "Alternative Models of Buffer Stock Money: An Empirical Investigation," Scottish Journal of Political Economy, Scottish Economic Society, vol. 35(1), pages 1-21, February.
  18. Cuthbertson, Keith & Taylor, Mark P, 1987. "The Demand for Money: A Dynamic Rational Expectations Model," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 97(388a), pages 65-76, Supplemen.
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Cited by:
  1. Martin Meurers, 2004. "Estimating Supply and Demand Functions in International Trade: A Multivariate Cointegration Analysis for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 224(5), pages 530-556, September.
  2. Saten Kumar & Don J. Webber & Scott Fargher, 2011. "Money demand stability: A case study of Nigeria," Working Papers, Auckland University of Technology, Department of Economics 2011-02, Auckland University of Technology, Department of Economics.
  3. Pål Boug & Ådne Cappelen & Anders Swensen, 2006. "Expectations and regime robustness in price formation: evidence from vector autoregressive models and recursive methods," Empirical Economics, Springer, vol. 31(4), pages 821-845, November.
  4. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.

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