UK money demand 1873-2001: a long-run time series analysis and event study

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

UK money demand 1873-2001 : a long-run time series analysis and event study. / Nielsen, Heino Bohn.

In: Cliometrica, Vol. 1, No. 1, 2007, p. 45-61.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Nielsen, HB 2007, 'UK money demand 1873-2001: a long-run time series analysis and event study', Cliometrica, vol. 1, no. 1, pp. 45-61. https://doi.org/10.1007/s11698-006-0003-z

APA

Nielsen, H. B. (2007). UK money demand 1873-2001: a long-run time series analysis and event study. Cliometrica, 1(1), 45-61. https://doi.org/10.1007/s11698-006-0003-z

Vancouver

Nielsen HB. UK money demand 1873-2001: a long-run time series analysis and event study. Cliometrica. 2007;1(1):45-61. https://doi.org/10.1007/s11698-006-0003-z

Author

Nielsen, Heino Bohn. / UK money demand 1873-2001 : a long-run time series analysis and event study. In: Cliometrica. 2007 ; Vol. 1, No. 1. pp. 45-61.

Bibtex

@article{56d1a9e0d0a311dcbee902004c4f4f50,
title = "UK money demand 1873-2001: a long-run time series analysis and event study",
abstract = "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",
keywords = "Faculty of Social Sciences, United Kingdom, money demand, special events, event study",
author = "Nielsen, {Heino Bohn}",
note = "JEL Classification: E41, E31, C32",
year = "2007",
doi = "10.1007/s11698-006-0003-z",
language = "English",
volume = "1",
pages = "45--61",
journal = "Cliometrica",
issn = "1863-2505",
publisher = "Springer",
number = "1",

}

RIS

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