Fractional cointegration and the demand for M1 / by Greg Tkacz. : FB3-2/100-13E-PDF
This paper extends the long-run analysis of money demand into the sphere of fractional cointegration. This extension is motivated by the fact that traditional methods of cointegration analysis yield relationships that are not as stationary as they are believed to be. Our results demonstrate that money gaps arising from simple money-demand systems are at best fractionally integrated, and at worst random walks.--Conclusion
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Fractional cointegration and the demand for M1 / by Greg Tkacz. |
| Series title | Bank of Canada working paper1701-93972000-13 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| Note(s) | "This paper extends the long-run analysis of money demand into the sphere of fractional cointegration. This extension is motivated by the fact that traditional methods of cointegration analysis yield relationships that are not as stationary as they are believed to be. Our results demonstrate that money gaps arising from simple money-demand systems are at best fractionally integrated, and at worst random walks."--Conclusion. The ISBN (0-662-29133-6) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. Résumé en français. |
| Publishing information | Ottawa - Ontario : Bank of Canada June 2000. |
| Description | 32p.graphs, references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
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| Subject terms | Interest rates Demand Currency |