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International Evidence on Long Run Money Demand

Author

Listed:
  • Luca Benati
  • Robert Lucas, Jr.
  • Juan Nicolini
  • Warren Weber

Abstract

This paper explores the long-run demand for M1 based on a dataset comprising 31 countries since 1851. In many cases, co integration tests identify a long-run equilibrium relationship between either velocity and the short rate, or M1, GDP, and the short rate. Evidence is especially strong for the United States and the United Kingdom over the entire period since World War I, and for high-inflation countries such as Israel. For low-inflation countries the data often, prefer the specification in the levels of velocity and the short rate originally estimated by Selden (1956) and Latané (1960) to either the log-log, or the semi-log ones. This is especially clear for the United States. [Working Paper 22475]

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  • Luca Benati & Robert Lucas, Jr. & Juan Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," Working Papers id:11152, eSocialSciences.
  • Handle: RePEc:ess:wpaper:id:11152
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    More about this item

    Keywords

    M1; long-run equilibrium relationship ; United States; United Kingdom; World War I; Israel;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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