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Zur Stabilität der Geldnachfrage

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  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 17, Issue 4
  5. pp. 507–539

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Buscher, H. Zur Stabilität der Geldnachfrage. . Eine empirische Betrachtung. Credit and Capital Markets – Kredit und Kapital, 17(4), 507-539. https://doi.org/10.3790/ccm.17.4.507
Buscher, Herbert S. "Zur Stabilität der Geldnachfrage. Eine empirische Betrachtung. " Credit and Capital Markets – Kredit und Kapital 17.4, 1984, 507-539. https://doi.org/10.3790/ccm.17.4.507
Buscher, Herbert S. (1984): Zur Stabilität der Geldnachfrage, in: Credit and Capital Markets – Kredit und Kapital, vol. 17, iss. 4, 507-539, [online] https://doi.org/10.3790/ccm.17.4.507
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Zur Stabilität der Geldnachfrage

Eine empirische Betrachtung

Buscher, Herbert S.

Credit and Capital Markets – Kredit und Kapital, Vol. 17 (1984), Iss. 4 : pp. 507–539

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.17.4.507
Language
Multiple languages
Pages
33

Author Details

Herbert S. Buscher, Berlin

References

  1. Akhtar, M. A. / Putnam, B. H., (1980): Money Demand and Foreign Exchange Risk: The German Case, 1972-1976; Journal of Finance, 35, 787-794.  Google Scholar
  2. Arango, S. / Nadiri, M.1I., (1981): Demand for Money in Open Economies; Journal of Monetary Economics, 7, 69-93.  Google Scholar
  3. Boughton, J. M., (1980): Recent Instability of the Demand for Money: An International Perspective; Southern Economic Journal, 47, 579-597.  Google Scholar
  4. Brown, R.L. / Durbin, J. / Evans, J. M., (1975): Techniques for Testing the Constancy of Regression Relationships over Time; Journal of the Royal Statistical Society, Ser. B, 37, 149-163.  Google Scholar
  5. Buscher, H. S., (1983 a): The Stability of the West German Demand for Money, 1965 to 1982; Paper presented at the European Meeting of the Econometric Society, Pisa, Italy, 1983.  Google Scholar
  6. Buscher, H. S., (1983b): Prognosequalität alternativer Geldnachfragefunktionen für die Bundesrepublik Deutschland, 1981 bis 1982; Diskussionsarbeit Nr. 3/1983, Freie Universität Berlin, FB Wirtschaftswissenschaft, Institut für Ange wandte Statistik.  Google Scholar
  7. Buscher, H. S. / Schröder, W., (1983): Instabilität der Geldhaltung stellt Geldmengenregel in Frage; Wirtschaftsdienst (HWWA) 63, Nr. 6, 309-312.  Google Scholar
  8. Buscher, H. S. / Schröder, W., (1982): Stabilität und Prognosequalität alternativer Geldnachfragefunktionen für die Bundesrepublik Deutschland, 1965-1982; pape presented at the 2nd meeting of the Conference on Money, Banking and Insurance, Karlsruhe, 1982 (Dec.).  Google Scholar
  9. Cameron, N., (1979): The Stability of Canadian Demand for Money Functions 1954-75; Canadian Journal of Economics, 12, 258-281.  Google Scholar
  10. Carr, J. / Darby, M. R. (1981): The Role of Money Supply Shocks in the Short Run Demand for Money; Journal of Monetary Economics, 8, 183-199.  Google Scholar
  11. Cooley, T. F. / Prescott, E. C., (1973): An Adaptive Regres ion Model; International Economic Review, 14, 364-371  Google Scholar
  12. Cooley, T. F. / Prescott, E. C., (1976): Estimation in the Presence of Stochastic Parameter Variation; Econometrica, 44, 167-184.  Google Scholar
  13. Darby, M. R., (1972): Allocation of Transitory Income among Consumer Assets; American Economic Review, 62, 928-941.  Google Scholar
  14. den Butter, F. A. G. / Fase, M. M. G., (1981): The Demand for Money in EEC Countries; Journal of Monetary Economics 8, 201-230.  Google Scholar
  15. Dufour, J. M., (1982 a): Generalized Chow-Tests for Structural Change: A Coordinate-Free Approach; International Economic Review, 23, 565-575.  Google Scholar
  16. Dufour, J. M., (1982b): Recursive Stability Analysi of Linear Regression Relationships: An Exploratory Methodology; Journal of Econometrics, 19, 31-76.  Google Scholar
  17. Hatanaka, M., (1974): An Efficient Two-Step Estimator for the Dynamic Adjustment Model with Autoregressive Errors; Journal of Econometrics, 2, 199-220.  Google Scholar
  18. Judd, J. P. / Scadding, J. L., (1982): The Search for a Stable Money Demand Function; Journal of Economic Literature, 20, 993-1023.  Google Scholar
  19. Klein, B., (1975): Our New Monetary Standard: The Measurement and Effects of Price Uncertainty, 1880-1973; Economic Inquiry, 13, 461-484.  Google Scholar
  20. Klein, B., (1976): The Social Costs of the Recent Inflation: The Mirage of Steady ‘Anticipated’ Inflation; in: Brunner, K. / Meltzer, A. (eds.), (1976), Institutional Arrangements and the Inflation Problem, Carnegie-Rochester Conference Series on Public Policy, Vol. 13, North-Holland, Amsterdam, 185-212.  Google Scholar
  21. Maddala, G. S., (1977): Econometrics, McGraw Hill, Tokyo.  Google Scholar
  22. Neumann, M. J. M., (1983): Stabilität von Geldnachfrage und Geldpolitik; Wirtschaftsdienst (HWWA), 63, Nr. 8, 415-420.  Google Scholar
  23. Ram (1981) - Schröder, W., (1983): Ist die Geldnachfragefunktion in der Bundesrepublik Deutschland hinreichend stabil, um eine potentialorientierte Geldmengenpolitik zu rechtfertigen; in: Hamburger Jahrbuch für Wirtschafts- und Gesellschaftspolitik, 28. Jahrgang, 73-88.  Google Scholar
  24. Akhtar, M. A. / Putnam, B. H., (1980): Money Demand and Foreign Exchange Risk: The German Case, 1972-1976; Journal of Finance, 35, 787-794.  Google Scholar
  25. Arango, S. / Nadiri, M.1I., (1981): Demand for Money in Open Economies; Journal of Monetary Economics, 7, 69-93.  Google Scholar
  26. Boughton, J. M., (1980): Recent Instability of the Demand for Money: An International Perspective; Southern Economic Journal, 47, 579-597.  Google Scholar
  27. Brown, R.L. / Durbin, J. / Evans, J. M., (1975): Techniques for Testing the Constancy of Regression Relationships over Time; Journal of the Royal Statistical Society, Ser. B, 37, 149-163.  Google Scholar
  28. Buscher, H. S., (1983 a): The Stability of the West German Demand for Money, 1965 to 1982; Paper presented at the European Meeting of the Econometric Society, Pisa, Italy, 1983.  Google Scholar
  29. Buscher, H. S., (1983b): Prognosequalität alternativer Geldnachfragefunktionen für die Bundesrepublik Deutschland, 1981 bis 1982; Diskussionsarbeit Nr. 3/1983, Freie Universität Berlin, FB Wirtschaftswissenschaft, Institut für Ange wandte Statistik.  Google Scholar
  30. Buscher, H. S. / Schröder, W., (1983): Instabilität der Geldhaltung stellt Geldmengenregel in Frage; Wirtschaftsdienst (HWWA) 63, Nr. 6, 309-312.  Google Scholar
  31. Buscher, H. S. / Schröder, W., (1982): Stabilität und Prognosequalität alternativer Geldnachfragefunktionen für die Bundesrepublik Deutschland, 1965-1982; pape presented at the 2nd meeting of the Conference on Money, Banking and Insurance, Karlsruhe, 1982 (Dec.).  Google Scholar
  32. Cameron, N., (1979): The Stability of Canadian Demand for Money Functions 1954-75; Canadian Journal of Economics, 12, 258-281.  Google Scholar
  33. Carr, J. / Darby, M. R. (1981): The Role of Money Supply Shocks in the Short Run Demand for Money; Journal of Monetary Economics, 8, 183-199.  Google Scholar
  34. Cooley, T. F. / Prescott, E. C., (1973): An Adaptive Regres ion Model; International Economic Review, 14, 364-371  Google Scholar
  35. Cooley, T. F. / Prescott, E. C., (1976): Estimation in the Presence of Stochastic Parameter Variation; Econometrica, 44, 167-184.  Google Scholar
  36. Darby, M. R., (1972): Allocation of Transitory Income among Consumer Assets; American Economic Review, 62, 928-941.  Google Scholar
  37. den Butter, F. A. G. / Fase, M. M. G., (1981): The Demand for Money in EEC Countries; Journal of Monetary Economics 8, 201-230.  Google Scholar
  38. Dufour, J. M., (1982 a): Generalized Chow-Tests for Structural Change: A Coordinate-Free Approach; International Economic Review, 23, 565-575.  Google Scholar
  39. Dufour, J. M., (1982b): Recursive Stability Analysi of Linear Regression Relationships: An Exploratory Methodology; Journal of Econometrics, 19, 31-76.  Google Scholar
  40. Hatanaka, M., (1974): An Efficient Two-Step Estimator for the Dynamic Adjustment Model with Autoregressive Errors; Journal of Econometrics, 2, 199-220.  Google Scholar
  41. Judd, J. P. / Scadding, J. L., (1982): The Search for a Stable Money Demand Function; Journal of Economic Literature, 20, 993-1023.  Google Scholar
  42. Klein, B., (1975): Our New Monetary Standard: The Measurement and Effects of Price Uncertainty, 1880-1973; Economic Inquiry, 13, 461-484.  Google Scholar
  43. Klein, B., (1976): The Social Costs of the Recent Inflation: The Mirage of Steady ‘Anticipated’ Inflation; in: Brunner, K. / Meltzer, A. (eds.), (1976), Institutional Arrangements and the Inflation Problem, Carnegie-Rochester Conference Series on Public Policy, Vol. 13, North-Holland, Amsterdam, 185-212.  Google Scholar
  44. Maddala, G. S., (1977): Econometrics, McGraw Hill, Tokyo.  Google Scholar
  45. Neumann, M. J. M., (1983): Stabilität von Geldnachfrage und Geldpolitik; Wirtschaftsdienst (HWWA), 63, Nr. 8, 415-420.  Google Scholar
  46. Ram (1981) – Schröder, W., (1983): Ist die Geldnachfragefunktion in der Bundesrepublik Deutschland hinreichend stabil, um eine potentialorientierte Geldmengenpolitik zu rechtfertigen; in: Hamburger Jahrbuch für Wirtschafts- und Gesellschaftspolitik, 28. Jahrgang, 73-88.  Google Scholar

Abstract

To the Stability of the Demand for Money. An Empirical Consideration

In this paper eleven alternative specifications of a demand for money function have been investigated for the period 1965.Ito 1982.IV. The main purpose of the paper was testing of stability under the assumption of constant parameters over time, applying Cusums and Cusums squared test procedures. Additionally to these tests a standard Chow-test for structural break in 1973 and a test of homoscedasticity, based on moving regression, have been applied. The results of these tests do not allow clear-cut conclusions about the stability of the West German demand for money. This may partly be due to the violation of the statistical assumptions underlying these test procedures, so that it is difficult to decide which of the results are the least unreliable ones. Therefore, all conclusions drawn in the paper should be interpreted with caution. Nevertheless, it seems possible to single out the following result: In the beginning of the seventies there occurred a structural break in the relationship of the demand for money. Estimating over the whole sample period, therefore, may lead to wrong parameter estimates. This is important for policy purposes, so that estimation of the demand for money should start after 1975. But then there is an additional problem: one has to find a proper specification of the demand for money in terms of M3.

Table of Contents

Section Title Page Action Price
Herbert S. Buscher: Zur Stabilität der Geldnachfrage. Eine empirische Betrachtung 507
I. Einleitung 507
II. Geldnachfrage-Spezifikationen und Schätzergebnisse 508
III. Ergebnisse der Stabilitätstests 516
1. Die Ergebnisse der Cusums-Tests 521
2. Chow-Test auf Strukturkonstanz 530
3. Cusums-Tests für Teilperioden 531
IV. Zusammenfassung der Ergebnisse 533
V. Anhang 535
Literaturverzeichnis 536
Zusammenfassung: Zur Stabilität der Geldnachfrage. Eine empirische Betrachtung 537
Summary: To the Stability of the Demand for Money. An Empirical Consideration 538
Résumé: La stabilité de la demande de monnaie. Une considération empirique 538

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