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The Demand for Broad Money in the United Kingdom, 1878-1993

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  • Ericsson, Neil R
  • Hendry, David F
  • Prestwich, Kevin M

Abstract

Using annual data from M. Friedman and A. Schwartz (1982), D. F. Hendry and N. R. Ericsson (1991) developed an empirical model of the demand for broad money in the United Kingdom over 1878-75. The authors update that model over 1976-93, accounting for changed data definitions and clarifying the concept of constancy. With appropriate measures of opportunity cost and credit deregulation, the model's parameters are empirically constant over the extended sample, which was economically turbulent. Policy implications follow for parameter nonconstancy and predictive failure, causation between money and prices, monetary targeting, deregulation and financial innovation, and the effect of policy on economic agents' behavior. Copyright 1998 by The editors of the Scandinavian Journal of Economics.

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  • Ericsson, Neil R & Hendry, David F & Prestwich, Kevin M, 1998. " The Demand for Broad Money in the United Kingdom, 1878-1993," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 289-324, March.
  • Handle: RePEc:bla:scandj:v:100:y:1998:i:1:p:289-324
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    Cited by:

    1. Hendry, David F. & Mizon, Grayham E., 2001. "Reformulating empirical macro-econometric modelling," Discussion Paper Series In Economics And Econometrics 104, Economics Division, School of Social Sciences, University of Southampton.
    2. Ericsson, Neil R., 2017. "How biased are U.S. government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 543-559.
    3. Amir Kia, 2001. "Interest-free and Interest-bearing Money Demand: Policy Invariance and Stability," Emory Economics 0107, Department of Economics, Emory University (Atlanta).
    4. Till Strohsal & Christian R. Proaño & Jürgen Wolters, 2015. "Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis," SFB 649 Discussion Papers SFB649DP2015-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    6. Igor Pelipas, 2011. "Structural Breaks and Dynamic Characteristics of Inflation and Growth Rates of Monetary Aggregates," BEROC Working Paper Series 15, Belarusian Economic Research and Outreach Center (BEROC).
    7. Castle, Jennifer L. & Hendry, David F., 2009. "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 5-28, March.
    8. Amir Kia, 2002. "Demand for Money, Economic Policies, and Stability," Emory Economics 0211, Department of Economics, Emory University (Atlanta).
    9. Eliasson Ann-Charlotte, 2001. "Detecting Equilibrium Correction with Smoothly Time-Varying Strength," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(2), pages 1-19, July.
    10. Timo Teräsvirta, 2909. "Nonlinear models in macroeconometrics," CREATES Research Papers 2017-32, Department of Economics and Business Economics, Aarhus University.
    11. Fabrizio CORICELLI & Bostjan JAZBEC & Igor MASTEN, 2004. "Exchange Rate Pass-Through in Acceding Countries: The Role of Exchange Rate Regimes," Economics Working Papers ECO2004/16, European University Institute.
    12. Lee, Chien-Chiang & Chen, Pei-Fen & Chang, Chun-Ping, 2007. "Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 293-302.
    13. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).

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