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A Component-Based Analysis Of The Danish Long-Run Money Demand Relation

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Author Info
Funding la Cour, Lisbeth (Department of Economics, Copenhagen Business School)
Abstract

This paper examines the relation between monetary asset components and some of the

variables that traditionally enter into aggregate money demand relations. This is done for

Danish data within the natural framework of a multivariate econometric model. The

purpose of the study is to investigate issues in relation to the level and weighting of a

monetary aggregate. We show that within this model it is possible to identify monetary

aggregates at different levels of aggregation and that for the narrow aggregate (M1) equal

weighting of the components are permitted. For the broader aggregates, (M2) or (M2-M1),

equal weighting is no longer appropriate. These findings are not contradictory to what we

would expect from aggregation and index number theory. Finally, the overall identifica-tion

of the stationary (or long-run) structure points towards a co-existence of a liquid and

a less liquid money demand relation which is interpreted as an indication of the

possibility of splitting the total money demand relation with respect to different motives

for holding money.

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File URL: http://openarchive.cbs.dk/cbsweb/handle/10398/7513
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Publisher Info
Paper provided by Copenhagen Business School, Department of Economics in its series Working Papers with number 06-1999.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 24 pages
Date of creation: 18 Jul 1999
Date of revision:
Handle: RePEc:hhs:cbsnow:1999_006

Contact details of provider:
Postal: Department of Economics, Copenhagen Business School, Solbjerg Plads 3 C, 5. sal, DK-2000 Frederiksberg, Denmark
Phone: 38 15 25 75
Fax: 38 15 26 65
Email:
Web page: http://www.cbs.dk/departments/econ/
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For technical questions regarding this item, or to correct its listing, contact: (Lars Nondal).

Related research
Keywords: Monetary asset components; Aggregate money demand; Denmark; Demand relation;

Find related papers by JEL classification:
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Barnett, William A., 1980. "Economic monetary aggregates an application of index number and aggregation theory," Journal of Econometrics, Elsevier, vol. 14(1), pages 11-48, September. [Downloadable!] (restricted)
  2. Diewert, Erwin, 2007. "Index Numbers," UBC Departmental Archives diewert-07-01-03-08-17-23, UBC Department of Economics, revised 31 Jan 2007. [Downloadable!]
  3. Johansen, S., 1991. "A Statistical Analsysis of Cointegration for I(2) Variables," Papers 77, Helsinki - Department of Economics.
    Other versions:
  4. Søren Johansen & Katarina Juselius, 1989. "The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications," Discussion Papers 89-11, University of Copenhagen. Department of Economics.
  5. Søren Johansen & Katarina Juselius, 1990. "Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK," Discussion Papers 90-05, University of Copenhagen. Department of Economics.
  6. William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, EconWPA. [Downloadable!]
    Other versions:
  7. Bordo, Michael D. & Jonung, Lars, 1990. "The long-run behavior of velocity: The institutional approach revisited," Journal of Policy Modeling, Elsevier, vol. 12(2), pages 165-197. [Downloadable!] (restricted)
    Other versions:
  8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  9. Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May. [Downloadable!] (restricted)
  10. David E. Laidler, 1988. "Taking Money Seriously," Canadian Journal of Economics, Canadian Economics Association, vol. 21(4), pages 687-713, November. [Downloadable!] (restricted)
    Other versions:
  11. Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July. [Downloadable!] (restricted)
    Other versions:
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