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The demand for money in Austria

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Author Info
Bernd Hayo () (ZEI, University of Bonn, Walter-Flex-Str. 3, 53113 Bonn, Germany)

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Abstract

In this paper, the demand for real money M1, M2, and M3 is estimated for Austria over the time period 1965-96. The modelling takes place within the framework of a small vector autoregression. To estimate the demand for money, two-equation error-correction models are constructed, which contain the short-run dynamics and the long-run economic equilibrium. It is found that a stable money demand exists for all monetary aggregates. The long-run equilibrium of M1, after accounting for a structural break in 1979, can be characterised as a classical type of money demand, with no interest rate effects and an elasticity of one for real GDP. In the case of M2 and M3, we find a unit coefficient on income and a significantly negative influence of a long-term interest rate. The statistical properties of the estimated short-run money demand equations - considering in-sample and out-of-sample tests - are generally very good.

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Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 25 (2000)
Issue (Month): 4 ()
Pages: 581-603
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Handle: RePEc:spr:empeco:v:25:y:2000:i:4:p:581-603

Note: received: October 1996/Final version received: April 2000
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Related research
Keywords: monetary economics · money demand · Austria · European Monetary Union;

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Find related papers by JEL classification:
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

References listed on IDEAS
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.:

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    Other versions:
  3. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
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    Other versions:
  6. Martin Falk & Norbert Funke, 1995. "The stability of money demand in Germany and in the EMS: Impact of German unification," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 131(3), pages 470-488, September. [Downloadable!] (restricted)
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  17. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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  21. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June. [Downloadable!] (restricted)
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    Other versions:
  23. Hayo, Bernd, 1998. "Simplicity in Econometric Modelling: Some Methodological Considerations," Journal of Economic Methodology, Taylor and Francis Journals, vol. 5(2), pages 247-61, December.
Full references

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. Komárek Luboš & Melecký Martin, 2001. "Demand for Money in the Transition Economy : The Case of the Czech Republic 1993–2001," The Warwick Economics Research Paper Series (TWERPS) 614, University of Warwick, Department of Economics. [Downloadable!]
  2. Abbas Valadkhani, 2002. "Modelling Demand for Broad Money in Australia," School of Economics and Finance Discussion Papers and Working Papers Series 120, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  3. Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," European Journal of Finance, Taylor and Francis Journals, vol. 8(4), pages 371-401, December. [Downloadable!] (restricted)
  4. Philip Arestis & Malcolm Sawyer, 2001. "Will the Euro Bring Economic Crisis to Europe?," Macroeconomics 0103003, EconWPA. [Downloadable!]
    Other versions:
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