Year: 1999
Author: Bohl, Martin T.
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 2 : pp. 209–224
Abstract
Specification of a Stable Money Demand Function for German M2
In this paper the German M2 money demand function is investigated using seasonally adjusted and unadjusted quarterly data over the period from 1960 to 1996. The findings show that the usage of seasonally adjusted time series may be responsible for the problems to model a money demand function for M2. Empirical evidence is found in favour of a stable long-run M2 money demand function relying on seasonally unadjusted data while it is not possible to establish a stable long-run relationship using seasonally adjusted time series. The seasonal error correction model exhibits satisfactory properties and fits the data quite well.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.32.2.209
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 2 : pp. 209–224
Published online: 1999-02
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 16
Author Details
-
Barsky, R. B. und J. A. Miron, 1989, The Seasonal Cycle and the Business Cycle, Journal of Political Economy, vol. 97, 503 - 534.
Google Scholar -
Beaulieu, J. J. und J. A. Miron, 1992, A Cross Country Comparison of Seasonal Cycles and Business Cycles, The Economic Journal, vol. 102, 772 788.
Google Scholar -
Bell, W. und S. Hillmer, 1984, Issues Involved with the Seasonal Adjustment of Economic Time Series, Journal of Business and Economic Statistics, vol. 2, 291 - 349.
Google Scholar -
Bohl, M. T., 1996, Saisonale Kointegration und die deutsche Konsumfunktion 1960 - 1993, Jahrbücher für Nationalökonomie und Statistik, Bd. 215/5, 526 541.
Google Scholar -
Bohl, M. T., 1999, Nonstationary Stochastic Seasonality and the German M2 Money Demand Function, European Economic Review, erscheint demnächst.
Google Scholar