Does interest rate volatility affect the US M1 demand function? Evidence from cointegration

Manchester School

Volumn 67, Issue 6, 1999, Pages 621-648

  Choudhry, Taufiq ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0043285401     PISSN: 14636786     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9957.00172     Document Type: Article

References (48)

1. Baba, Y., Hendry, D. and Starr, R. (1992). 'The Demand for M1 in the U.S.A., 1960-1988', Review of Economic Studies, Vol. 52, pp. 25-61.
2. Balke, N. and Fomby, T. (1991). 'Shifting Trends, Segmented Trends, and Infrequent Permanent Shocks', Journal of Monetary Economics, Vol. 28, pp. 61-85.
3. Banerjee, A., Dolado, J., Galbraith, J. and Hendry, D. (1993). Co-integration, Error Correction, and the Econometric Analysis of Non-stationary Data, Advanced Texts in Econometrics, Oxford, Oxford University Press.
4. Blejer, M. (1979). 'The Demand for Money and the Variability of the Rate of Inflation: Some Empirical Results', International Economic Review, Vol. 20, pp. 745-749.
5. Bollerslev, T. (1986). 'Generalized Autoregressive Conditional Heteroskedasticity', Journal of Econometrics, Vol. 31, pp. 307-327.
6. Bollerslev, T., Chou, R. and Kroner, K. (1992). 'ARCH Modeling in Finance', Journal of Econometrics, Vol. 52, pp. 5-59.
7. Boonekamp, C. (1978). 'Inflation, Hedging, and the Demand for Money', American Economic Review, Vol. 68, pp. 821-833.
8. Boughton, J. (1993). 'The Demand for M1 in the United States: a Comment on Baba, Hendry and Starr', Economic Journal, Vol. 103, pp. 1154-1157.
9. Campbell, J. and Perron, P. (1991). 'Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots', in O. J. Blanchard and S. Fisher (eds), NBER Macroeconomics Annual, Cambridge, MA, MIT Press.
10. Cheung, Y. and Lai, K. (1993). 'Finite-sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration', Oxford Bulletin of Economics and Statistics, Vol. 55, pp. 313-328.
11. Dickey, D. and Pantula, S. (1987). 'Determining the Order of Differencing in Autoregressive Process', Journal of Business and Economic Statistics, Vol. 5, pp. 455-461.
12. Dickey, D. and Rossana, R. (1994). 'Cointegrated Time Series: a Guide to Estimation and Hypothesis Testing', Oxford Bulletin of Economics and Statistics, Vol. 56, pp. 325-353.
13. Dickey, D., Jansen, D. and Thornton, D. (1991). 'A Primer on Cointegration With an Application to Money and Income', Federal Reserve Bank of St Louis Review, Vol. 73, pp. 58-78.
14. Engle, R. and Bollerslev, T. (1986). 'Modelling the Persistence of Conditional Variance', Econometric Review, Vol. 5, pp. 1-50.
15. Engle, R. and Granger, C. (1987). 'Co-integration and Error Correction: Representation, Estimation, and Testing', Econometrica, Vol. 55, pp. 251-276.
16. Falls, G. and Zangeneh, H. (1989). 'The Interest Rate Volatility and the Demand for Money: the Empirical Evidence', Quarterly Journal of Business and Economics, Vol. 28, pp. 26-42.
17. Friedman, M. (1956). 'The Quantity Theory of Money: a Restatement', in M. Friedman (ed.), Studies in the Quantity Theory of Money, Chicago, IL, University of Chicago Press.
18. Friedman, M. (1984). 'Lessons from the 1979-82 Monetary Policy Experiment', American Economic Review, Vol. 74, pp. 397-400.
19. Garner, A. (1990). 'Does Interest Rate Volatility Affect Money Demand?', in Financial Market Volatility and the Economy, Federal Reserve Bank of Kansas City.
20. Gonzalo, J. (1994). 'Five Alternative Methods of Estimating Long Run Equilibrium Relationship', Journal of Econometrics, Vol. 60, pp. 203-233.
21. Gordon, R. (1989). Macroeconomics, 5th edn, Glenview, IL, Scott Foresman/ Little Brown.
22. Granger, C. (1988). 'Developments in a Concept of Causality', Journal of Econometrics, Vol. 39, pp. 199-211.
23. Hafer, R. and Jansen, D. (1991). 'The Demand for Money in the United States: Evidence from Cointegration Tests', Journal of Money, Credit and Banking, Vol. 23, pp. 155-168.
24. Hargreaves, C. (1994). 'A Review of Methods of Estimating Cointegration Relationships', in C. Hargreaves (ed.), Nonstationary Time Series Analysis and Cointegration, New York, Oxford University Press.
25. Harris, R. (1995). Cointegration Analysis in Econometric Modelling, London, Prentice Hall/Harvester Wheatsheaf.
26. Haug, A. (1996). 'Tests for Cointegration: a Monte Carlo Comparison', Journal of Econometrics, Vol. 71, pp. 89-115.
27. Johansen, S. (1988). 'Statistical Analysis of Cointegration Vectors', Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254.
28. Johansen, S. (1992). 'Determination of Cointegration Rank in the Presence of a Linear Trend', Oxford Bulletin of Economics and Statistics, Vol. 54, pp. 383-397.
29. Johansen, S. and Juselius, K. (1990). 'Maximum Likelihood Estimation and Inference on Cointegration - With Application to the Demand for Money', Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-210.
30. Kasa, K. (1992). 'Common Stochastic Trends in International Stock Markets', Journal of Monetary Economics, Vol. 29, pp. 95-124.
31. Klein, B. (1977). 'The Demand for Quality-adjusted Cash Balances: Price Uncertainty in the U.S. Demand for Money Function', Journal of Political Economy, Vol. 85, pp. 691-715.
32. Lutz, M. (1996). 'Further Evidence on the Sensitivity of Unit Root Tests to Structural Breaks: an Application to Developing Country Series', Discussion Paper 02/96, Department of Economics, University of Sussex.
33. Mackinnon, J. (1991). 'Critical Values for Co-integration Tests', in R. Engle and C. Granger (eds), Long-run Economic Relationships, Oxford, Oxford University Press.
34. Marquis, M. (1989). 'Interest Rate Volatility in a Partial Equilibrium Model of Household Money Demand', Journal of Macroeconomics, Vol. 11, pp. 67-80.
35. Miller, S. (1991). 'Monetary Dynamics: an Application of Cointegration and Error-correction Modeling', Journal of Money, Credit and Banking, Vol. 23, pp. 139-154.
36. Osterwald-Lenum, M. (1992). 'A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics: Four Cases', Oxford Bulletin of Economics and Statistics, Vol. 54, pp. 461-472.
37. Payne, J. (1995). 'Velocity and the Variability of Yields on Financial and Other Assets', American Economist, Vol. 39, pp. 89-94.
38. Perron, P. (1989). 'The Great Crash, the Oil Shock and the Unit Root Hypothesis', Econometrica, Vol. 57, pp. 1361-1402.
39. Perron, P. (1993). 'Trend Unit Root and Structural Change in Macroeconomics Time Series', Unpublished manuscript, University of Montreal.
40. Phillips, P. and Perron, P. (1988). 'Testing for a Unit Root in Times Series Regression', Biometrica, Vol. 75, pp. 335-346.
41. Said, S. and Dickey, D. (1984). 'Testing for Unit Roots in Autoregressive Moving Average Models with Unknown Order', Biometrika, Vol. 71, pp. 599-607.
42. Schwert, G. W. (1989). 'Tests for Unit Roots: a Monte Carlo Investigation', Journal of Business and Economics Statistics, Vol. 7, pp. 147-159.
43. Slovin, M. and Sushka, M. (1983). 'Money, Interest Rates, and Risk', Journal of Monetary Economics, Vol. 12, pp. 475-482.
44. Smirlock, M. (1982). 'Inflation Uncertainty and the Demand for Money', Economic Inquiry, Vol. 20, pp. 355-364.
45. Stock, J. (1994). 'Unit Roots, Structural Breaks and Trends', in R. Engle and D. McFadden (eds), Handbook of Econometrics, Vol. IV, Amsterdam, Elsevier Science, pp. 2740-2841.
46. Tatom, J. (1984). 'Interest Rate Variability: its Link to the Variability of Monetary Growth and Economic Performance', Federal Reserve Bank of St Louis Review, Vol. 66, pp. 31-47.
47. Walsh, C. (1984). 'Interest Rate Volatility and Monetary Policy', Journal of Money, Credit and Banking, Vol. 16, pp. 133-150.
48. Zivot, E. and Andrews, D. (1992). 'Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis', Journal of Business and Economics Statistics, Vol. 10, pp. 251-270.