Money Demand and Inflation: A Cointegration Analysis for Canada

Federico Lubello

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this paper is to investigate the presence of long-run equilibrium relationships among variables that explain money demand in Canada during the period 1983–2011. To this end, I set up a vector-error correction model with an appropriate lag order and test for cointegration by means of the Bartlett corrected trace test. I estimate the long-run money demand parameters by means of the maximum likelihood method of Johansen, comparing an unconstrained benchmark model against other constrained model. I find the latter to not be better than the benchmark one. Finally, I perform sensitivity analysis and check the stability of the resulting cointegration relationships.

Keywords: Canada; cointegration; money demand; vector autoregression (search for similar items in EconPapers)
JEL-codes: C1 C3 E31 E41 (search for similar items in EconPapers)
Date: 2011-07
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https://mpra.ub.uni-muenchen.de/54960/1/MPRA_paper_54960.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:54901

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