Fabio C. Bagliano
Dipartimento di Scienze Economiche e Finanziarie, Università di Torino
Economic Notes, vol.25, 1996, 3, p.425-464
Abstract
Money demand is studied in a multivariate framework, so as to explicitly address the problem of multiple long-run relations, which is overlooked in single-equation estimates. The adopted methodology, combining cointegration analysis with traditional structural modelling, has two distinctive features: (i) it makes use of formal testing of long-run structural economic hypotheses in the context of a cointegrated VAR: (ii) the dynamic, short-run adjustment of the system is specified in a way consistent with the proposed interpretation of the long-run equilibrium. This empirical strategy is illustrated with an application to Italian data for the eighties and early nineties.
J.E.L. classification numbers: C32, E41
Keywords: money demand, cointegration, structural modelling.