Kumar, Saten and Webber, Don J. (2010): Australasian money demand stability: Application of structural break tests.
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Estimates of the demand for money provide important foundations for monetary policy setting but if the estimation technique does not explicitly account for structural changes then such estimates will be biased. This paper presents an investigation into the level and stability of money demand (M1) for Australia and New Zealand over the 1960-2009 period and demonstrates that both countries experienced regime shifts; Australia also experienced an intercept shift. Application of four time series methods provide consistent results with 1984 and 1998 break dates. CUSUM and CUSUMSQ stability tests reveal that M1 demand functions were unstable over the 1984 to 1998 period for both countries although tests for stability are not rejected thereafter.
|Item Type:||MPRA Paper|
|Original Title:||Australasian money demand stability: Application of structural break tests|
|English Title:||Australasian money demand stability: Application of structural break tests|
|Keywords:||Money demand; Cointegration; Structural breaks; Australia; New Zealand|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E41 - Demand for Money
|Depositing User:||Saten Kumar|
|Date Deposited:||21. Dec 2010 08:06|
|Last Modified:||11. Feb 2013 16:35|
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