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Nonlinear Monetary Dynamics

Author

Listed:
  • DeCoster, Gregory P
  • Mitchell, Douglas W

Abstract

This article uses the correlation-dimension technique, along with the residual and shuffle tests, to look for evidence of nonlinear dynamic structure in various weekly monetary aggregates, their components, the monetary base, and the money multipliers. The results support the Barnett and Chen (1988) and Chen (1988) findings of nonlinearity in Divisia M2, Divisia M3, and simple sum M2. Evidence of nonlinear structure is also found for simple sum M1; currency; demand deposits; all checkable deposits; M3 minus M2; the monetary base; and the multipliers of M1, M2, and M3.

Suggested Citation

  • DeCoster, Gregory P & Mitchell, Douglas W, 1991. "Nonlinear Monetary Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 455-461, October.
    • Handle: RePEc:bes:jnlbes:v:9:y:1991:i:4:p:455-61
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    Citations

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    Cited by:

    1. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004. "Robustness of Nonlinearity and Chaos Tests to Measurement Error, Inference Method, and Sample Size," Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 529-548, Emerald Group Publishing Limited.
    2. Hartwell, Christopher A., 2019. "Short waves in Hungary, 1923 and 1946: Persistence, chaos, and (lack of) control," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 532-550.
    3. Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2015. "Nonlinear And Complex Dynamics In Economics," Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1749-1779, December.
    4. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004. "A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos," Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 581-615, Emerald Group Publishing Limited.
    5. Barnett, William A. & Serletis, Apostolos, 2000. "Martingales, nonlinearity, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 703-724, June.
    6. Orlando Gomes, 2007. "Routes to chaos in macroeconomic theory," Journal of Economic Studies, Emerald Group Publishing, vol. 33(6), pages 437-468, January.
    7. Ioannis Andreadis & Athanasios D. Fragkou & Theodoros E. Karakasidis & Apostolos Serletis, 2023. "Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-17, December.
    8. H. Siddiqi, 2015. "The Routes To Chaos In The Bitcoins Market," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(3), pages 32-38.
    9. Serletis, Apostolos & He, Mingyu & Chowdhury, M.M. Islam, 2023. "Chaos in long-maturity real rates," Economics Letters, Elsevier, vol. 225(C).
    10. Serletis, Apostolos & Uritskaya, Olga Y., 2007. "Detecting signatures of stochastic self-organization in US money and velocity measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(1), pages 281-291.
    11. Orlando Gomes, 2006. "Routes to chaos in macroeconomic theory," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 33(6), pages 437-468, November.
    12. Orlando Gomes, 2006. "Routes to chaos in macroeconomic theory," Journal of Economic Studies, Emerald Group Publishing, vol. 33(6), pages 437-468, November.
    13. Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
    14. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper 49921, University Library of Munich, Germany.
    15. Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March.
    16. Hartwell Christopher A., 2019. "Complexity, Uncertainty, and Monetary Policy: Can the ECB Avoid the Unconventional Becoming the ‘New Normal’?," The Economists' Voice, De Gruyter, vol. 16(1), pages 1-13, December.
    17. Chen, Show-Lin & Wu, Jyh-Lin, 2005. "Long-run money demand revisited: evidence from a non-linear approach," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 19-37, February.
    18. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    19. Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2004. "Vector autoregressive models versus neural networks in forecasting: an application to Euro-inflation and divisia money," Money Macro and Finance (MMF) Research Group Conference 2003 5, Money Macro and Finance Research Group.
    20. Barkoulas, John T., 2008. "Testing for deterministic monetary chaos: Metric and topological diagnostics," Chaos, Solitons & Fractals, Elsevier, vol. 38(4), pages 1013-1024.

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