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On the long-run Relationship Between Money, Output and Interest Rates : A Cointegration Analysis for West Germany

Author

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  • Werner GAAB

    (Universität Essen)

  • Olaf LIEDTKE

    (Universität Essen & Georgetown University, Washington D. C.)

Abstract

The existence of a long-run equilibrium relationship between real money balances, real output and an interest rate plays an important role in economic theory and monetary policy. The main purpose of this paper is to look for such a long-run relationship in Germany in face of a changing monetary policy regime in mid-1970s. We use a test for cointegration developed by Johansen (1988). The empirical evidence is very fragile depending heavily on the time period analyzed.

Suggested Citation

  • Werner GAAB & Olaf LIEDTKE, 1992. "On the long-run Relationship Between Money, Output and Interest Rates : A Cointegration Analysis for West Germany," Discussion Papers (REL - Recherches Economiques de Louvain) 1992045, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvre:1992045
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    Cited by:

    1. Daniel Ordonez Callamand & Luis Fernando Melo-Velandia & Daniel Parra-Amado, 2018. "Una exploración reciente a la demanda por dinero en Colombia bajo un enfoque no lineal," Revista de Economía del Rosario, Universidad del Rosario, vol. 21(1), pages 5-37, June.
    2. Scott Hendry, 1995. "Long-Run Demand for M1," Macroeconomics 9511001, University Library of Munich, Germany.
    3. Lutkepohl, Helmut & Saikkonen, Pentti, 1997. "Impulse response analysis in infinite order cointegrated vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 127-157, November.
    4. Scharnagl, Michael, 1996. "Monetary aggregates with special reference to structural changes in the financial markets," Discussion Paper Series 1: Economic Studies 1996,02e, Deutsche Bundesbank.
    5. Scharnagl, Michael, 1996. "Geldmengenaggregate unter Berücksichtigung struktureller Veränderungen an den Finanzmärkten," Discussion Paper Series 1: Economic Studies 1996,02, Deutsche Bundesbank.

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