International Evidence on Long Run Money Demand / Luca Benati, Robert E. Lucas, Jr., Juan Pablo Nicolini, Warren Weber.

Format:

Book

Author/Creator:

Benati, Luca.

Contributor:

National Bureau of Economic Research.

Lucas, Robert E, Jr.

Nicolini, Juan Pablo.

Weber, Warren.

Series:

Working Paper Series (National Bureau of Economic Research) no. w22475.

NBER working paper series no. w22475

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2016.

Summary:

We explore the long-run demand for M1 based on a dataset comprising 31 countries since 1851. In many cases cointegration tests identify a long-run equilibrium relationship between either velocity and the short rate, or M1, GDP, and the short rate. Evidence is especially strong for the United States and the United Kingdom over the entire period since World War I, and for high-inflation countries such as Israel. For low-inflation countries the data often prefer the specification in the levels of velocity and the short rate originally estimated by Selden (1956) and Latané (1960) to either the log-log, or the semi-log ones. This is especially clear for the United States.

Notes:

Print version record

July 2016.