Money Demand Stability and Currency Substitution in Six European Countries, 1980-1992Bank for International Settlements, Monetary and Economic Department, 1995 - Currency question - 57 pages |
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3-month interbank 80 81 Recursive ADF(D ADF(L Angelini Arch Banca d'Italia Belgium Bertola and Svensson Box-Pierce Chow F Chart cointegrating countries currency substitution D.F. Hendry demand for money demand for real Deutsche Mark economic properties effects on money error-correction model estimated equations European expected devaluation expected rate explanatory variables Fase and Winder financial innovation forward premium France French franc GDP deflator Germany indicators and tests inflation Italian lira Italy Jarque-Bera levels of restrictions liberalisation Ljung-Box Log Likelihood long-run elasticity long-term interest rates Marginal significance levels monetary aggregates monetary policy money balances money demand equations money holdings money stock Netherlands out-of-sample price homogeneity price level Probability Recursive Residuals rate on money real balances Real GDP real income elasticities RESET(2 RESET(3 restrictions on coefficients Sample breakpoint 88.1 Savings deposits Short-term interest rate short-term rates spot exchange rate stability Statistical indicators studies term structure trend United Kingdom vis-à-vis the Deutsche ΔΡ