Scandinavian Working Papers in Economics
SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics
No 113: Modelling the Demand for M3 in the unified Germany
Jürgen Wolters, Timo Teräsvirta () and Helmut Lütkepohl
Additional contact information
Jürgen Wolters: Department of Statistics and Econometrics, Postal: Freie Universität Berlin, D-14195 Berlin, Germany
Timo Teräsvirta: Department of Economic Statistics, Postal: Stockholm School of Economics, Box 6501, 113 83 Stockholm, Sweden
Helmut Lütkepohl: Department of Statistics and Econometrics, Postal: Humboldt-Universitat zu Berlin, D-10178 Berlin, Germany
Abstract: An error correction model for the demand for real M3 money is constructed for the period 1976-1994 with real GNP, the GNP deflator as well as a short-term and a long-term interest rate as explanatory variables. Quarterly, seasonally unadjusted data are used in estimating the model. It is found that there is a clear structural break due to the German unification in 1990. On the other hand, once this structural break is accounted for, a stable relation is found which passes a series of misspecification tests. In particular, a number of recent tests of parameter constancy and linearity are applied. Our specification is at variance with findings reported by some other researchers, notably the Deutsche Bundesbank.
Keywords: Econometric modelling; nonlinearity; parameter constancy; smooth transition regression; structural break
19 pages, April 1996
- Published as
- Jürgen Wolters, Timo Teräsvirta and Helmut Lütkepohl, (1998), 'Modelling the Demand for M3 in the unified Germany', Review of Economics and Statistics, vol 80, pages 399-409
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:hhs:hastef:0113This page generated on 2024-09-13 22:15:03.