Long-Run Money Demand in Canada: In Search of Stability
AbstractThe authors search for a long-run cointegrating relationship among real money balances, real income, and interest rates, extending the work of Steve Ambler and Algin Paquet (1990), who explore this issue in the Canadian context employing the methods of Robert F. Engle and Clive W. Granger (1987). First, they uncover parameter estimates of the cointegrated relationships using three different methods of estimation. Second, the authors employ the Hansen (1992) procedure to search for structural instability in cointegrating relationships with unknown break points. They find empirical support for a stable cointegrating relationship among real M1, real income, and short-term interest rates in Canada for the period 1953:1-1990:4. Copyright 1996 by MIT Press.
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Bibliographic InfoPaper provided by Saskatchewan - Department of Economics in its series Papers with number 92-4.
Length: 27 pages
Date of creation: 1992
Date of revision:
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Postal: UNIVERSITY OF SASKATCHEWAN, DEPARTMENT OF ECONOMICS, SASKATOON SASKATCHEWAN S7N 0W0 CANADA.
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Fax: (306) 966-5232
Web page: http://www.arts.usask.ca/economics/
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money ; demand ; economic equilibrium;
Other versions of this item:
- Haug, Alfred A & Lucas, Robert F, 1996. "Long-Run Money Demand in Canada: In Search of Stability," The Review of Economics and Statistics, MIT Press, vol. 78(2), pages 345-48, May.
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- Brian M. Doyle, 2000. ""Here, dollars, dollars ..."estimating currency demand and worldwide currency substitution," International Finance Discussion Papers 657, Board of Governors of the Federal Reserve System (U.S.).
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