Does a Cointegrating M2 Demand Relation Really Exist in the United States?

Miyao, Ryuzo

doi:10.2307/2077980

Cited by 62 publications

(37 citation statements)

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“…Vector error correction could also be explored in our forecasting model, but we would have to deal with changes in the co-integration rank as t expands from 1992Q1 to 2004Q3. In this regard, Miyao (1996) found mixed evidence of co-integration for M2 (using similar variables to ours) over sample periods ending before 1990, but found virtually no evidence for co-integration over his full sample ending in 1993. Thus, the evidence for a co-integration relation involving M2 deteriorates in the first few years of our forecast period.…”

Section: Empirical Analysissupporting

confidence: 44%

Forecasting with Monetary Aggregates: Recent Evidence for the United States

Elger

Jones

Nilsson

2006

Journal of Economics and Business

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Section: Empirical Analysissupporting

confidence: 44%

Forecasting with Monetary Aggregates: Recent Evidence for the United States

Elger

Jones

Nilsson

2006

Journal of Economics and Business

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“…Some evidence of cointegration can be found in data up to the beginning of 1990 although the results are again highly sensitive to the choice of the monetary variable and the interest rate. Miyao (1996) …”

Section: Empirical Applicationmentioning

confidence: 99%

Analytical Evaluation of the Power of Tests for the Absence of Cointegration

Pesavento

2001

SSRN Journal

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This paper proposes a theoretical explanation to the common empirical results in which different tests for cointegration give different answers. Using local to unity parametrization I compute the analytical power of some tests for the null of no cointegration: The ADF test on the residuals of the cointegration regression, Johansen's maximum eigenvalue test, the t-test on the Error Correction term and Boswijk (1994) Wald test. The tests are shown to be functions of Brownian Motions and Ornstein-Uhlenbeck processes and to depend on a single nuisance parameter, which is, in turn determined by the correlation at frequency zero of the independent variables with the errors of the cointegration regression. Monte Carlo experiments show that the tests can have significantly different performances for different values of the nuisance parameter. An application to the money demand equation is presented.JEL classification: C32

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“…Hafer and Jansen(1991) and Stock and Watson (1991) also found support for a long-run cointegrated money demand for the USA case. Miyao (1996) examines the case of Japan but cocludes that the data do not lend support to the stability of money demand in Japan. The study by Bahmani-Oskooee (2001) for the same country showed that M2 is not only cointegrated with the demand for money arguments, but that the relationship is stable.…”

Section: Literature Reviewmentioning

confidence: 98%

An Analytical Study of the Demand for Money in Saudi Arabia

Abdulkheir¹

2013

IJEF

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Empirical studies on the demand for money have been the object of great attention by economists due to its central role in conducting monetary policy by making it possible for monetary authorities to effect desired and predictable changes in targeted macroeconomic variables such as income, interest rate and prices by appropriate changes in monetary aggregates. The present study sought to investigate the cointegrating property of money demand in Saudi Arabia by using annual data for the period 1987-2009 and applying the vector error correction model (VECM) technique. Findings indicate clearly the existence of a long run cointegration relationship between the demand for money (M 2 ) and its explanatory variables, namely real GDP, the interest rate, the real exchange rate and the inflation rate. The error correction coefficient was found to be statistically significant and carries a minus sign as expected. The deviation of money demand from its long run value would be corrected in about a year and nine monthes.

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Does a Cointegrating M2 Demand Relation Really Exist in the United States?

Cited by 62 publications

References 0 publications

Forecasting with Monetary Aggregates: Recent Evidence for the United States

Forecasting with Monetary Aggregates: Recent Evidence for the United States

Analytical Evaluation of the Power of Tests for the Absence of Cointegration

An Analytical Study of the Demand for Money in Saudi Arabia

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