We test for fractional dynamics in U.S. monetary series, their various formulations and components, and velocity series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary series (both simple-sum and Divisia indices), in their components (with the exception of demand deposits, savings deposits, overnight repurchase agreements, and term repurchase agreements), and the monetary base and money multipliers. No evidence of fractional behavior is found in the velocity series. Granger's (1980) aggregation hypothesis is evaluated and implications of the presence of fractional monetary dynamics are drawn.
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Length: 22 pages Date of creation: 27 Jan 1998 Date of revision: Publication status: published, Applied Economics, 1999, 31, 1393-1400. Handle: RePEc:boc:bocoec:321
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Barkoulas, John T & Baum, Christopher F & Caglayan, Mustafa, 1999.
"Fractional Monetary Dynamics,"
Applied Economics,
Taylor and Francis Journals, vol. 31(11), pages 1393-1400, November.
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Find related papers by JEL classification: E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
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