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Stability of money demand in Switzerland: A comparison of the M2 and M3 cases

  • Michel Peytrignet

    ()

    (Swiss National Bank, PO Box, CH-8022 Zurich, Switzerland)

  • Christof Stahel

    ()

    (Swiss National Bank, PO Box, CH-8022 Zurich, Switzerland)

Registered author(s):

    Long-run parameters of money demand functions for Switzerland's M2 and M3 aggregate are estimated and their stability investigated. For both aggregates a single stable cointegrating vector is found. Around these long-run relationships a single-equation model for m2 and a single-equation model for cpi is built respectively for M2 and M3, and both estimated models are found to be stable. Testing forecast performance, the cpi model seems to be superior to the m2 model, providing some positive signs that the M3 model is stable in the sense that it does not suffer from a structural break during the period of estimation.

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    Article provided by Springer in its journal Empirical Economics.

    Volume (Year): 23 (1998)
    Issue (Month): 3 ()
    Pages: 437-454

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    Handle: RePEc:spr:empeco:v:23:y:1998:i:3:p:437-454
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    1. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
    2. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
    3. Helmut LÜTKEPOHL & Martin MORYSON & Jürgen WOLTERS, 1994. "Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten," SFB 373 Discussion Papers 1994,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    5. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
    6. Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.
    7. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
    8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    9. 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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