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Modelling the Demand for M3 in the Unified Germany

Author

Listed:
  • Wolters, J.
  • Teräsvirta, T.
  • Lütkepohl, H.

Abstract

An error correction model for the demand for real M3 money is constructed for the period of 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 resists a series of specification tests. These include a number of recent tests of parameter constancy and linearity. Our specification is at variance with findings reported by some other researchers, notably the Deutsche Bundesbank. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
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Suggested Citation

  • Wolters, J. & Teräsvirta, T. & Lütkepohl, H., 1996. "Modelling the Demand for M3 in the Unified Germany," SFB 373 Discussion Papers 1996,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199624
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    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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