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Working Paper
Results of a study of the stability of cointegrating relations comprised of broad monetary aggregates
There is strong evidence of a stable ?money demand? relationship for MZM and M2 through the 1990s. Though the M2 relationship breaks down somewhere around 1990, evidence has been accumulating that the disturbance is well characterized as a permanent upward shift in M2 velocity that began around 1990 and was largely over by 1994. This paper?s results support the hypothesis that households permanently reallocated a portion of their wealth from time deposits to mutual funds. This reallocation may have been induced by depository restructuring, but it could also be explained by appropriately ...
Working Paper
STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy
Any research or policy analysis exercise in economics must be consistent with the time-series properties of observed macroeconomic data. This paper discusses in detail the specification of a six-variable vector error-correction forecasting model. We test for cointegration among those variables: the CPI, the implicit price deflator for GDP, real money balances (M1), the federal funds rate, the yield on long-term (10-year) government bonds, and real GDP. We also examine the estimated dynamic parameters of the vector error correction structure, and analyze the properties of the model residuals ...
Working Paper
A vector error correction forecasting model of the U.S. economy
Any research or policy analysis in economics must be consistent with the time-series properties of observed macroeconomic data. Numerous previous studies of such time series reinforce the need to specify correctly a model's multivariate stochastic structure. This paper discusses in detail the speciation of a vector error correction forecasting model that is anchored by long-run equilibrium relationships suggested by economic theory. The model includes six variables - the CPI, the implicit price deflator for GDP, real money balances (MI), the federal funds rate, the yield on long-term ...