Instability of the Velocity of Money: A New Approach Based on the Evolutionary Spectrum
Robin Bladen-Hovell and
Dilip M Nachane
No 735, CEPR Discussion Papers from C.E.P.R. Discussion Papers
Money demand instability has been the subject of considerable attention in the recent literature. This paper examines the stability of velocity series for the United States and for five European countries (France, Germany, Italy, the Netherlands and the United Kingdom). A distribution-free test due to Subba Rao (1981) and based on the concept of the evolutionary spectrum is used. The test does not require the assumption that distributions are Gaussian and is able to decompose (by frequency) the sources of instability. The technique reveals structural breaks of long-term significance for only broad money velocity in the United States and narrow money velocity in the United Kingdom.
Keywords: Evolutionary Spectrum; Frequency Domain; Instability; Money Demand; Structural Breaks; Velocity (search for similar items in EconPapers)
JEL-codes: E41 (search for similar items in EconPapers)
References: Add references at CitEc
Citations View citations in EconPapers (21) Track citations by RSS feed
Downloads: (external link)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at firstname.lastname@example.org
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:cpr:ceprdp:735
Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... pers/dp.php?dpno=735
Access Statistics for this paper
More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ..
Series data maintained by (). This e-mail address is bad, please contact .