Results of a study of the stability of cointegrating relations comprised of broad monetary aggregates
AbstractThere is strong evidence of a stable “money demand” relationship for MZM and M2 through the 1990s. Though the M2 relationship breaks down somewhere around 1990, evidence has been accumulating that the disturbance is well characterized as a permanent upward shift in M2 velocity that began around 1990 and was largely over by 1994. This paper’s results support the hypothesis that households permanently reallocated a portion of their wealth from time deposits to mutual funds. This reallocation may have been induced by depository restructuring, but it could also be explained by appropriately measured opportunity cost.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 9917.
Date of creation: 1999
Date of revision:
Other versions of this item:
- Carlson, John B. & Hoffman, Dennis L. & Keen, Benjamin D. & Rasche, Robert H., 2000. "Results of a study of the stability of cointegrating relations comprised of broad monetary aggregates," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 345-383, October.
- NEP-ALL-2000-01-31 (All new papers)
- NEP-ETS-2000-01-31 (Econometric Time Series)
- NEP-MON-2000-01-31 (Monetary Economics)
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