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Seasonal cointegration analysis for German M3 money demand

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Abstract:

Investigating the German money demand function the paper provides a vector autoregressive model that allows for cointegration at the zero frequency and at the seasonal frequencies. The sample period is 1975:1 to 1995:4 and thus contains the German unification period. Using prediction tests the employed model is found to be stable. The seasonal cointegration analysis is used to infer against price homogeneity of money demand and against scale invariance of holding money.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/09603100110096356

Affiliations: 1: Institut für Statistik und Ökonometrie, Humboldt-Universität zu Berlin, Spandauer Str. 1, 10178 Berlin, Germany 2: Hochschule Wismar Fachhochschule für Technik, Wirtschaft und Gestaltung, Postfach 12 10, 23952 Wismar, Germany

Publication date: January 1, 2003

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