Cointegration, Financial Innovation and Modelling the Demand for Money in Italy
Problems encountered in the empirical modeling of the demand for money in Italy have usually been attributed to the presence of financial innovation in the last two decades. This paper constructs a model of the demand for M2 in Italy by explicitly incorporating variables that proxy the various processes of financial innovation. Various integration and cointegration tests are used in order to establish that the chosen regressors in the model are cointegrated. The Engle-Granger two-step estimation procedure is then used in order to estimate the authors' model, which is found to be stable over the last decade. Copyright 1990 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Volume (Year): 58 (1990)
Issue (Month): 3 (September)
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