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Reexamining the Term Structure of Interest Rates and the Interwar Demand for Money

Listed author(s):
  • Christopher F. Baum

    ()

    (Boston College)

  • Clifford F. Thies

    ()

    (Shenandoah University)

This paper reexamines whether the term structure of interest rates, rather than merely a single interest rate, should be included in the demand for money of the interwar era. In contrast to earlier work, we use cointegration techniques to model the equilibrium/error correction process, and find that a sufficiently rich dynamic model using a single interest rate has considerable explanatory power. Nevertheless, we conclude that the inclusion of the term structure may help to explain the turbulent monetary dynamics of the Depression era.

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File URL: http://fmwww.bc.edu/EC-P/wp384.pdf
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Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 384.

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Length: 17 pages
Date of creation: 01 Sep 1997
Publication status: published, Journal of Economics and Finance, 1998, 22:2-3, 5-12.
Handle: RePEc:boc:bocoec:384
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Phone: 617-552-3670
Fax: +1-617-552-2308
Web page: http://fmwww.bc.edu/EC/
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