A smooth transition regression equation of the demand for UK M0
AbstractThe econometric analysis of UK M0 has, so far, been confined to linear models. Using quarterly data over the period 1970:4-1997:2 in a single-equation money demand system, this article shows that a linear error-correction equation of the demand for UK M0 contains significant non-linearity and parameter non-constancy of smooth transition regression (STR) type. A constant-parameter exponential STR (ESTR) equation is then estimated, suggesting that interest rate changes have been an important factor in explaining fluctuations in the demand for UK M0.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 10 (2003)
Issue (Month): 12 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20
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.:
- Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999.
"Investigating Stability and Linearity of a German M1 Money Demand Function,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 14(5), pages 511-25, Sept.-Oct.
- H. Lütkepohl & T. Teräsvirta & J. Wolters, 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," SFB 373 Discussion Papers 1995,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen, 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," Working Paper Series in Economics and Finance 64, Stockholm School of Economics.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- Artis, M J & Lewis, M K, 1984. "How Unstable Is the Demand for Money in the United Kingdom?," Economica, London School of Economics and Political Science, vol. 51(204), pages 473-76, November.
- Eitrheim, Oyvind & Terasvirta, Timo, 1996.
"Testing the adequacy of smooth transition autoregressive models,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 59-75, September.
- Eitrheim, Øyvind & Teräsvirta, Timo, 1995. "Testing the Adequacy of Smooth Transition Autoregressive Models," Working Paper Series in Economics and Finance 56, Stockholm School of Economics.
- Khadaroo, Ahmad Jameel, 2000. "Testing Restrictions on Cointegrating Vectors: A Comment," Journal of Macroeconomics, Elsevier, vol. 22(4), pages 695-705, October.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
- Srečko Devjak & Ludvik Bogataj, 2007. "Optimisation of short term commercial bank loans to corporates in terms of financing operating activities in Slovenia," Central European Journal of Operations Research, Springer, vol. 15(4), pages 393-403, November.
- Fredj Jawadi & Ricardo M. Sousa, 2013.
"Modelling money demand: further evidence from an international comparison,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 20(11), pages 1052-1055, July.
- Fredj Jawadi & Ricardo M. Sousa, 2012. "Modelling Money Demand: Further Evidence from an International Comparison," NIPE Working Papers 23/2012, NIPE - Universidade do Minho.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.