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The demand for M0 in the United Kingdom reconsidered: some specification issues

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  • Norbert Janssen

Abstract

This paper provides tests of an econometric model of the demand for UK M0. The existence of a long-run cointegrating relationship between M0 and key economic variables is established and a plausible dynamic error-correction model is estimated. A model that passes standard specification tests is achieved without resort to arbitrary proxies for financial innovation. Some of the recent decline in M0 velocity is explained by the move to a lower inflation environment.

Suggested Citation

  • Norbert Janssen, 1998. "The demand for M0 in the United Kingdom reconsidered: some specification issues," Bank of England working papers 83, Bank of England.
    • Handle: RePEc:boe:boeewp:83
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    File URL: http://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/1998/wp83.pdf
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    References listed on IDEAS

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    Cited by:

    1. Winston Moore & Marlon Williams, 2008. "Evidence on the sectoral monetary transmission process under a fixed exchange rate regime," International Economic Journal, Taylor & Francis Journals, vol. 22(3), pages 387-398.
    2. 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;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 15(4), pages 393-403, November.
    3. A. J. Khadaroo, 2003. "A smooth transition regression equation of the demand for UK M0," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 769-773.
    4. Nelson, Edward, 2002. "Direct effects of base money on aggregate demand: theory and evidence," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 687-708, May.
    5. Ante Babić, 2000. "The Monthly Transaction Money Demand in Croatia," Working Papers 5, The Croatian National Bank, Croatia.
    6. Eleni Angelopoulou, 2007. "The Narrative Approach for the Identification of Monetary Policy Shocks in a Small Open Economy," Working Papers 55, Bank of Greece.
    7. Simon Hall & Chris Salmon & Tony Yates & Nicoletta Batini, 1999. "Uncertainty and Simple Monetary Policy Rules - An illustration for the United Kingdom," Bank of England working papers 96, Bank of England.

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