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Stability of Velocity in the Major Industrial Countries: A Kalman Filter Approach

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  • Eduard J. Bomhoff

    (International Monetary Fund)

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    Abstract

    Forecasting models are estimated using annual data for the income velocity of money in seven major industrial countries. The predictions are conditional on the realized value of the long-term domestic government bond rate. These forecasts did not deteriorate over the period 1980-88, compared with the earlier postwar period. Velocity of M1 is found to be very interest elastic in almost all countries; velocity of M2, less so. The specifications (based on Kalman filters) point to a nonconstant trend in velocity, raising questions about the assumptions required for the cointegration techniques used in other research on money demand.

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    Bibliographic Info

    Article provided by Palgrave Macmillan in its journal Staff Papers - International Monetary Fund.

    Volume (Year): 38 (1991)
    Issue (Month): 3 (September)
    Pages: 626-642

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    Handle: RePEc:pal:imfstp:v:38:y:1991:i:3:p:626-642

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    Cited by:
    1. Elyasiani, Elyas & Zadeh, Ali H. M., 1999. "Econometric tests of alternative scale variables in money demand in open economies: International evidence from selected OECD countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(2), pages 193-211.
    2. Frank Browne & Gabriel Fagan & Jerome Henry, 2005. "Money Demand in EU Countries: A Survey," Macroeconomics 0503004, EconWPA.
    3. Dumitru, Ionut, 2002. "Money Demand in Romania," MPRA Paper 10629, University Library of Munich, Germany.

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