Seasonal cointegration analysis for German M3 money demand

Helmut Herwartz and Hans-Eggert Reimers

Applied Financial Economics, 2003, vol. 13, issue 1, 71-78

Abstract: 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.

Date: 2003
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DOI: 10.1080/09603100110096356

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