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Seasonal cointegration analysis for German M3 money demand

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  • Helmut Herwartz
  • Hans-Eggert Reimers

Abstract

Investigating the German money demand function the paper provides a vector autoregressive model that allows for cointegration at the zero frequency and at the seasonal frequencies. The sample period is 1975:1 to 1995:4 and thus contains the German unification period. Using prediction tests the employed model is found to be stable. The seasonal cointegration analysis is used to infer against price homogeneity of money demand and against scale invariance of holding money.

Suggested Citation

  • Helmut Herwartz & Hans-Eggert Reimers, 2003. "Seasonal cointegration analysis for German M3 money demand," Applied Financial Economics, Taylor & Francis Journals, vol. 13(1), pages 71-78.
  • Handle: RePEc:taf:apfiec:v:13:y:2003:i:1:p:71-78
    DOI: 10.1080/09603100110096356
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    References listed on IDEAS

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    1. Gerdesmeier, Dieter, 1996. "Die Rolle des Vermögens in der Geldnachfrage," Discussion Paper Series 1: Economic Studies 1996,05, Deutsche Bundesbank.
    2. Scharnagl, Michael, 1996. "Geldmengenaggregate unter Berücksichtigung struktureller Veränderungen an den Finanzmärkten," Discussion Paper Series 1: Economic Studies 1996,02, Deutsche Bundesbank.
    3. Franses, Philip Hans & Kunst, Robert M, 1999. " On the Role of Seasonal Intercepts in Seasonal Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(3), pages 409-433, August.
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    Cited by:

    1. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex.
    2. Ozlem Tasseven, 2009. "Seasonal Co-integration An Extension of the Johansen and Schaumburg Approach with an Exclusion Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(1), pages 39-53, March.
    3. Mendez Parra, Maximiliano, 2015. "Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina," MPRA Paper 63831, University Library of Munich, Germany, revised 06 Apr 2015.
    4. Singh, Sunny Kumar, 2016. "Currency demand stability in the presence of seasonality and endogenous financial innovation: Evidence from India," MPRA Paper 71552, University Library of Munich, Germany.

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