The Demand for Money in Switzerland 1936-1995
This paper studies money demand in Switzerland. While the existing literature typically analyzes post-1973 data, this study uses data covering six decades. We test for cointegration in a system incorporating money, prices, income, a bond yield, and a deposit rate, and find evidence of a single cointegrating vector which feeds into the real money stock. Income and interest-rate elasticities lie within the range of previous findings. Furthermore, we estimate an error-correction model for the real money stock, which additionally includes the Swiss-US interest-rate spread. This model appears stable in- and outof- sample and passes a number of diagnostic tests.
Volume (Year): 137 (2001)
Issue (Month): IV (December)
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- Abdur Chowdhury, 1995. "The demand for money in a small open economy: The case of Switzerland," Open Economies Review, Springer, vol. 6(2), pages 131-144, April.
- Kohli, U, 1989. "Consistent Estimation When the Left-Hand Variable is Exogenous over Part of the Sample Period," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(3), pages 283-93, July-Sept.
- Jean-Christian Lambelet & Délia Nilles, 1987. "Statistique monétaire et demande de monnaie en Suisse," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 123(IV), pages 449-466, December.
- Andreas M. Fischer & Michel Peytrignet, 1990. "Are Larger Monetary Aggregates Interesting? Some Exploratory Evidence for Switzerland Using Feedback Models," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 126(IV), pages 505-520, December.
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