UK money demand 1873-2001: a long-run time series analysis and event study
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UK money demand 1873-2001 : a long-run time series analysis and event study. / Nielsen, Heino Bohn.
I: Cliometrica, Bind 1, Nr. 1, 2007, s. 45-61.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - UK money demand 1873-2001
T2 - a long-run time series analysis and event study
AU - Nielsen, Heino Bohn
N1 - JEL Classification: E41, E31, C32
PY - 2007
Y1 - 2007
N2 - This paper performs a multivariate cointegration analysis of UK money demand 1873-2001, and illustrates how a long-run time series analysis may be conducted on a data set characterized by turbulent episodes and institutional changes. We suggest accounting for the effects of the two world wars by estimating additive data corrections, thereby allowing the propagation of war-time shocks to be fundamentally different from the transmission of peace-time innovations. In addition, the corrected series may be used in counterfactual event studies to assess the impacts of special events. In the empirical analysis we find a single equilibrium relationship relating velocity to opportunity costs, and we identify a significant link between excess money and inflation. After accounting for the turbulent periods, the equilibrium structure is reasonably stable over a period of 130 years
AB - This paper performs a multivariate cointegration analysis of UK money demand 1873-2001, and illustrates how a long-run time series analysis may be conducted on a data set characterized by turbulent episodes and institutional changes. We suggest accounting for the effects of the two world wars by estimating additive data corrections, thereby allowing the propagation of war-time shocks to be fundamentally different from the transmission of peace-time innovations. In addition, the corrected series may be used in counterfactual event studies to assess the impacts of special events. In the empirical analysis we find a single equilibrium relationship relating velocity to opportunity costs, and we identify a significant link between excess money and inflation. After accounting for the turbulent periods, the equilibrium structure is reasonably stable over a period of 130 years
KW - Faculty of Social Sciences
KW - United Kingdom
KW - money demand
KW - special events
KW - event study
U2 - 10.1007/s11698-006-0003-z
DO - 10.1007/s11698-006-0003-z
M3 - Journal article
VL - 1
SP - 45
EP - 61
JO - Cliometrica
JF - Cliometrica
SN - 1863-2505
IS - 1
ER -
ID: 2538876