Seasonal Cointegration in Money Demand

Raimundo Soto and Matias Tapia

Journal Economía Chilena (The Chilean Economy), 2000, vol. 3, issue 3, 57-71

Abstract: Empirical estimates of the demand for money exhibit standard problems: model instability, parameter inconsistency with regard to theoretical priors, and poor forecasting capabilities (Goldfeld and Sichel, 1990). This study explores to what extent an inadequate treatment of seasonality is responsible for the disappointing results obtained in the Chilean case. The empirical approach is to test for the presence of unit roots at different frequencies of money balances and their main determinants (annual, semiannual, and quartely). Once seasonal integration is established, seasonal-cointegration error-correction models allow us to trace long-term relationships between these variables in a more satisfactory way than standard models. The estimated seasonal-cointegration demand for money —which excludes any ad-hoc variable— is stable and robust for 1977-1999 and its forecasting capability is superior to that of traditional models.

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://si2.bcentral.cl/public/pdf/revista-economi ... rec_v3n3_pp57_71.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchec:v:3:y:2000:i:3:p:57-71

Access Statistics for this article

Journal Economía Chilena (The Chilean Economy) is currently edited by Álvaro Aguirre, Sofía Bauducco and Andrés Fernández

More articles in Journal Economía Chilena (The Chilean Economy) from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Fredherick Sanllehi ().