IDEAS home Printed from https://ideas.repec.org/p/kud/kuiedp/9115.html
   My bibliography  Save this paper

On the Duality between Long-run Relations and Common Trends in an Empirical Analysis of Aggregate Money Holdings

Author

Listed:
  • Katarina Juselius

    (Institute of Economics, University of Copenhagen)

Abstract

The multivariate cointegration model in the autoregressive and the moving average form is discussed in terms of long run relations and common trends driving the system. The basic results needed for the cointegration analysis of processes integrated of order 2 are reviewed, and the notion of weak exogeneity and long run exclusion is shortly discussed. The cointegration model is applied to Danish money demand data and "excess money", and its effect on the other determinants of the system, in particular on the price inflation, is investigated. The results give strong empirical evidence about the lack of significance of excess money as an explanatory variable to the inflation rate behaviour in the Danish economy.

Suggested Citation

  • Katarina Juselius, 1991. "On the Duality between Long-run Relations and Common Trends in an Empirical Analysis of Aggregate Money Holdings," Discussion Papers 91-15, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:9115
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gannon, Gerard L., 1996. "First and second order inefficiency in Australasian currency markets," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 315-327, July.
    2. Bredin, Don & Muckley, Cal, 2011. "An emerging equilibrium in the EU emissions trading scheme," Energy Economics, Elsevier, vol. 33(2), pages 353-362, March.
    3. Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Working Papers 0605, Banco de España.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kud:kuiedp:9115. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Hoffmann (email available below). General contact details of provider: https://edirc.repec.org/data/okokudk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.