Australasian money demand stability: Application of structural break tests

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Kumar, S. (2013) Australasian money demand stability: Application of structural break tests. Applied Economics, 45 (8). pp. 1011-1025. ISSN 0003-6846 Available from: http://eprints.uwe.ac.uk/15814

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Publisher's URL: http://dx.doi.org/10.1080/00036846.2011.613788

Abstract/Description

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:	Article
Additional Information:	Available online before print: 4th November 2011
Uncontrolled Keywords:	money demand, cointegration, structural breaks, Australia, New Zealand
Faculty/Department:	Faculty of Business and Law > Department of Accounting, Economics and Finance
ID Code:	15814
Deposited By:	Professor D. Webber
Deposited On:	24 Oct 2011 14:48
Last Modified:	03 Dec 2016 05:08

Australasian money demand stability: Application of structural break tests

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