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The Demand for Money in Switzerland 1936-1995

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  • Petra Gerlach-Kristen

Abstract

This paper studies money demand in Switzerland. While the existing literature typically analyzes post-1973 data, this study uses data covering six decades. We test for cointegration in a system incorporating money, prices, income, a bond yield, and a deposit rate, and find evidence of a single cointegrating vector which feeds into the real money stock. Income and interest-rate elasticities lie within the range of previous findings. Furthermore, we estimate an error-correction model for the real money stock, which additionally includes the Swiss-US interest-rate spread. This model appears stable in- and outof- sample and passes a number of diagnostic tests.

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Bibliographic Info

Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

Volume (Year): 137 (2001)
Issue (Month): IV (December)
Pages: 535-554

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Handle: RePEc:ses:arsjes:2001-iv-3

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  1. Kohli, U, 1989. "Consistent Estimation When the Left-Hand Variable is Exogenous over Part of the Sample Period," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(3), pages 283-93, July-Sept.
  2. Fischer, Andreas M & Peytrignet, Michel, 1991. "The Lucas Critique in Light of Swiss Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(4), pages 481-93, November.
  3. Rich, Georg, 1997. "Monetary targets as a policy rule: Lessons from the Swiss experience," Journal of Monetary Economics, Elsevier, vol. 39(1), pages 113-141, June.
  4. U. Michael Bergman & Michael D. Bordo & Lars Jonung, 1998. "Historical evidence on business cycles: the international experience," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 42(Jun), pages 65-119.
  5. Dueker, Michael & Fischer, Andreas M., 1996. "Inflation targeting in a small open economy: Empirical results for Switzerland," Journal of Monetary Economics, Elsevier, vol. 37(1), pages 89-103, February.
  6. Jean-Christian Lambelet & Délia Nilles, 1987. "Statistique monétaire et demande de monnaie en Suisse," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 123(IV), pages 449-466, December.
  7. Abdur Chowdhury, 1995. "The demand for money in a small open economy: The case of Switzerland," Open Economies Review, Springer, vol. 6(2), pages 131-144, April.
  8. Andreas M. Fischer & Michel Peytrignet, 1990. "Are Larger Monetary Aggregates Interesting? Some Exploratory Evidence for Switzerland Using Feedback Models," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 126(IV), pages 505-520, December.
  9. Fischer, Andreas M, 1993. "Is Money Really Exogenous? Testing for Weak Exogeneity in Swiss Money Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 248-58, May.
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Cited by:
  1. Gebhard Kirchgässner & Jürgen Wolters, 2009. "The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank," University of St. Gallen Department of Economics working paper series 2009 2009-30, Department of Economics, University of St. Gallen.
  2. Gerlach, Stefan. & Stuart, Rebecca, 2014. "Money demand in Ireland, 1933-2012," Research Technical Papers 08/RT/14, Central Bank of Ireland.

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