Results of a study of the stability of cointegrating relations comprised of broad monetary aggregates
There is strong evidence of a stable “money demand” relationship for MZM and M2 through the 1990s. Though the M2 relationship breaks down somewhere around 1990, evidence has been accumulating that the disturbance is well characterized as a permanent upward shift in M2 velocity that began around 1990 and was largely over by 1994. This paper’s results support the hypothesis that households permanently reallocated a portion of their wealth from time deposits to mutual funds. This reallocation may have been induced by depository restructuring, but it could also be explained by appropriately measured opportunity cost.
|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.clevelandfed.org/
More information through EDIRC
|Order Information:|| Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hoffman, Dennis L & Rasche, Robert H, 1991.
"Long-Run Income and Interest Elasticities of Money Demand in the United States,"
The Review of Economics and Statistics,
MIT Press, vol. 73(4), pages 665-74, November.
- Dennis Hoffman & Robert H. Rasche, 1989. "Long-run Income and Interest Elasticities of Money Demand in the United States," NBER Working Papers 2949, National Bureau of Economic Research, Inc.
- Stock, James & Feldstein, Martin, 1996. "Measuring Money Growth When Financial Markets are Changing," Scholarly Articles 2799053, Harvard University Department of Economics.
- Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991.
"Stochastic trends and economic fluctuations,"
Working Paper Series, Macroeconomic Issues
91-4, Federal Reserve Bank of Chicago.
- Athanasios Orphanides & Richard Porter, 1998.
"P* revisited: money-based inflation forecasts with a changing equilibrium velocity,"
Finance and Economics Discussion Series
1998-26, Board of Governors of the Federal Reserve System (U.S.).
- Orphanides, Athanasios & Porter, Richard D., 2000. "P revisited: money-based inflation forecasts with a changing equilibrium velocity," Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 87-100.
- John V. Duca, 1992.
"The case of the "missing M2.","
9202, Federal Reserve Bank of Dallas.
- Martin Feldstein & James H. Stock, 1993.
"The Use of Monetary Aggregate to Target Nominal GDP,"
NBER Working Papers
4304, National Bureau of Economic Research, Inc.
- Martin Feldstein & James H. Stock, 1994. "The Use of a Monetary Aggregate to Target Nominal GDP," NBER Chapters, in: Monetary Policy, pages 7-69 National Bureau of Economic Research, Inc.
- James H. Stock & Martin Feldstein, 1994.
"Measuring Money Growth When Financial Markets Are Changing,"
NBER Working Papers
4888, National Bureau of Economic Research, Inc.
- Feldstein, Martin & Stock, James H., 1996. "Measuring money growth when financial markets are changing," Journal of Monetary Economics, Elsevier, vol. 37(1), pages 3-27, February.
- Horvath, Michael T.K. & Watson, Mark W., 1995. "Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified," Econometric Theory, Cambridge University Press, vol. 11(05), pages 984-1014, October.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- repec:cup:etheor:v:11:y:1995:i:5:p:984-1014 is not listed on IDEAS
- Arturo Estrella & Frederic S. Mishkin, 1996.
"Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?,"
NBER Working Papers
5845, National Bureau of Economic Research, Inc.
- Estrella, Arturo & Mishkin, Frederic S., 1997. "Is there a role for monetary aggregates in the conduct of monetary policy?," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 279-304, October.
- Friedman, Benjamin M & Kuttner, Kenneth N, 1992. "Money, Income, Prices, and Interest Rates," American Economic Review, American Economic Association, vol. 82(3), pages 472-92, June.
- Yash P. Mehra, 1997. "A review of the recent behavior of M2 demand," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 27-44.
- Duca, John V., 1995. "Should bond funds be added to M2?," Journal of Banking & Finance, Elsevier, vol. 19(1), pages 131-152, April.
- Cara S. Lown & Stavros Peristiani & Kenneth J. Robinson, 1999.
"What was behind the M2 breakdown?,"
83, Federal Reserve Bank of New York.
- John Wenninger & John Partlan, 1992. "Small time deposits and the recent weakness in M2," Quarterly Review, Federal Reserve Bank of New York, issue Spr, pages 21-35.
- John B. Carlson & Sharon E. Parrott, 1991. "The demand for M2, opportunity cost, and financial change," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 2-11.
- Joshua N. Feinman & Richard D. Porter, 1992. "The continuing weakness in the M2," Finance and Economics Discussion Series 209, Board of Governors of the Federal Reserve System (U.S.).
- Robert Darin & Robert L. Hetzel, 1994. "A shift-adjusted M2 indicator for monetary policy," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 25-48.
- Miyao, Ryuzo, 1996. "Does a Cointegrating M2 Demand Relation Really Exist in the United States?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(3), pages 365-80, August.
When requesting a correction, please mention this item's handle: RePEc:fip:fedcwp:9917. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lee Faulhaber)
If references are entirely missing, you can add them using this form.