Modelling the Demand for M3 in the unified Germany
Timo Teräsvirta () and
Helmut Lütkepohl ()
No 113, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics
An error correction model for the demand for real M3 money is constructed for the period 1976-1994 with real GNP, the GNP deflator as well as a short-term and a long-term interest rate as explanatory variables. Quarterly, seasonally unadjusted data are used in estimating the model. It is found that there is a clear structural break due to the German unification in 1990. On the other hand, once this structural break is accounted for, a stable relation is found which passes a series of misspecification tests. In particular, a number of recent tests of parameter constancy and linearity are applied. Our specification is at variance with findings reported by some other researchers, notably the Deutsche Bundesbank.
Keywords: Econometric modelling; nonlinearity; parameter constancy; smooth transition regression; structural break (search for similar items in EconPapers)
JEL-codes: C52 E41 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
Published in Review of Economics and Statistics , 1998, pages 399-409.
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Modeling The Demand For M3 In The Unified Germany (1998)
Working Paper: Modelling the Demand for M3 in the Unified Germany (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0113
Access Statistics for this paper
More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lundin ().