Fractional cointegration and the demand for M1 / by Greg Tkacz. : FB3-2/100-13E
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 | Working paper1192-54342000-13 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[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. Résumé en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 2000. |
| Binding | Softcover |
| Description | v, 23p. : figs., references, tables ; 28 cm. |
| ISBN | 0-662-29133-6 |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Interest rates Demand Currency |