Seasonal cointegration analysis for German M3 money demand

Seasonal cointegration analysis for German M3 money demand

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 emplo...

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Veröffentlicht in:Applied financial economics 2003-01, Vol.13 (1), p.71-78
Hauptverfasser: Herwartz, Helmut, Reimers, Hans-Eggert
Format: Artikel
Sprache:eng
Schlagworte:
Cointegration analysis
Demand
Demand for money
Economics
Finance
Germany
Mathematical models
Monetary economics
Money
Money supply
Seasons
Studies
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Zusammenfassung: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.
ISSN:0960-3107
1466-4305
DOI:10.1080/09603100110096356