Article

Dynamic specification of the demand for money in Austria

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Abstract

In der vorliegenden Arbeit wird die “Dynamische Spezifikation” zur Analyse der Geldnachfrage (M2) in Österreich angewendet. Ausgehend von einer sehr allgemeinen Formulierung einer üblichen Geldnachfragefunktion gelangt man durch eine Reihe von Tests zu einem “Error-correction”-Ansatz mit befriedigenden statistischen sowie theoretischen Eigenschaften und auch interessanter datenadäquater Dynamik. Aus diesem “Error-correction”-Modell läßt sich eine langfristige Gleichgewichtslösung ableiten, welche zeigt, daß — im Einklang mit Aussagen der Theorie — die Geldmenge homogen und proportional zum Einkommen und die Umlaufsgeschwindigkeit des Geldes (in bezug auf das Einkommen) eine steigende Funktion des Zinssatzes und der Inflationsrate ist. Eine gründliche Analyse der geschätzten Funktion über den Zeitablauf deckt zu Anfang der siebziger Jahre strukturelle Störungen auf. Formal betrachtet verschob sich die Funktion in diesem Zeitabschnitt von einer Goldfeld-Gleichung zu einem “Error-correction”-Modell. Die Erklärung dafür kann sowohl in einem anderen Verlauf der relevanten Daten als auch in einer veränderten Reaktion der Wirtschaftssubjekte auf Datensignale gefunden werden. Nach Auflösung des Bretton-Woods-Systems, mit der weiteren Öffnung der österreichischen Finanzmärkte, stärker schwankenden Zinssätzen sowie höheren Inflationsraten wurden korrigierende Reaktionen auf empfundene Ungleichgewichte für die Wirtschaftssubjekte bedeutsamer. Seit Mitte der siebziger Jahre sind jedoch die Parameter der Geldnachfragefunktion beachtlich konstant. Die Währungsbehörden, die sich für die Hartwährungspolitik entschieden haben und daher die Geldversorgung weitgehend dem Bedarf der Wirtschaft anpassen, können sich also auf eine recht stabile, freilich dynamische Geldnachfragefunktion stützen, die von drei makroökonomischen Größen (Realeinkommen, Preisen und Zinssatz) bestimmt wird.

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... First, it is interesting as an aim in itself. Although there exist thorough studies of Austrian money demand in the literature, they have become somewhat dated by now (see Ziegelschmidt (1985), Glück (1987) or Schebeck and Thury (1987)). Here we estimate money demand functions for three monetary aggregates within a small vector autoregression (VAR) to account for the simultaneity of the included variables and to ensure efficient estimation of the long-run coefficients of the model. ...
... Although the cointegrating vector is significant at a 1% level, it is not as pronounced and stable as the one computed for M1 after accounting for the break in 1979. In their analysis of M2 money demand, Schebeck and Thury (1987) had to include an impulse dummy to account for an outlier in 1984. Here we have refrained from including a dummy, especially since in our framework there is no obvious economic or statistical reason for doing so. ...
... The comparison of the two models can be further extended by answering the question of whether our model encompasses the one by Schebeck and Thury (1987), who specify a single Next, the recursive Chow-tests for the two-equation model are displayed in Figure 4. Here we have to report only one violation of the null hypothesis of stable parameters, namely in the onestep-ahead Chow-test for 1979. ...
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In this paper, the demand for real money M1, M2, and M3 is estimated for Austria over the time period 1965-96. The modelling takes place within the framework of a small vector autoregression. To estimate the demand for money, two-equation error-correction models are constructed, which contain the short-run dynamics and the long-run economic equilibrium. It is found that a stable money demand exists for all monetary aggregates. The long-run equilibrium of M1, after accounting for a structural break in 1979, can be characterised as a classical type of money demand, with no interest rate effects and an elasticity of one for real GDP. In the case of M2 and M3, we find a unit coefficient on income and a significantly negative influence of a long-term interest rate. The statistical properties of the estimated short-run money demand equations - considering in-sample and out-of-sample tests - are generally very good.
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confronted estimations of six alternative "dynamic" specifications for M1 in the U. S. He found that adding a supply shock proxy can improve the results, whereas his verdict on the error
  • Gordon
Gordon (1984) confronted estimations of six alternative "dynamic" specifications for M1 in the U. S. He found that adding a supply shock proxy can improve the results, whereas his verdict on the error
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