The demand for money in Austria
AbstractIn 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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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 25 (2000)
Issue (Month): 4 ()
Note: received: October 1996/Final version received: April 2000
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Other versions of this item:
- 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; Dynamic Treatment Effect Models; Diffusion Processes
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