Don J. Webber
Australasian money demand stability: Application of structural break tests
Webber, Don J.; Kumar, Saten
Authors
Saten Kumar
Abstract
Estimates of the demand for money provide important foundations for monetary policy setting but if the estimation technique does not explicitly account for structural changes then such estimates will be biased. This article presents an investigation into the level and stability of money demand (M1) for Australia and New Zealand over the period 1960-2009 and demonstrates that both countries experienced regime shifts; Australia also experienced an intercept shift. Application of four time series methods provide consistent results with 1984 and 1998 break dates. Cumulative Sum (CUSUM) and CUSUMSQ stability tests reveal that M1 demand functions were unstable over the period 1984-1998 for both countries although tests for stability are not rejected thereafter. © 2013 Copyright Taylor and Francis Group, LLC.
Journal Article Type | Article |
---|---|
Publication Date | Mar 1, 2013 |
Deposit Date | Oct 24, 2011 |
Publicly Available Date | Dec 2, 2016 |
Journal | Applied Economics |
Print ISSN | 0003-6846 |
Electronic ISSN | 1466-4283 |
Publisher | Taylor & Francis (Routledge) |
Peer Reviewed | Peer Reviewed |
Volume | 45 |
Issue | 8 |
Pages | 1011-1025 |
DOI | https://doi.org/10.1080/00036846.2011.613788 |
Keywords | money demand, cointegration, structural breaks, Australia, New Zealand |
Public URL | https://uwe-repository.worktribe.com/output/938951 |
Publisher URL | http://dx.doi.org/10.1080/00036846.2011.613788 |
Additional Information | Additional Information : Available online before print: 4th November 2011 |
Contract Date | Dec 2, 2016 |
Files
Download.pdf
(448 Kb)
PDF
Applied Economics Revised.doc
(464 Kb)
Document
Downloadable Citations
About UWE Bristol Research Repository
Administrator e-mail: repository@uwe.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search