Nonlinear Monetary Dynamics
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.
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Volume (Year): 9 (1991)
Issue (Month): 4 (October)
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