The equilibrium relationship among money, income, prices, and interest rates: evidence from a threshold cointegration test

References

• Arize , AC . 1994 . Has M2 demand in the USA become unstable? Evidence from an error-correction model . Applied Economics , 26 : 957 – 67 .
   Web of Science ®Google Scholar
• Baba , Y , Hendry , DF and Starr , RM . 1992 . The demand for M1 in the USA 1960–1988 . Review of Economic Studies , 59 : 25 – 61 .
   Web of Science ®Google Scholar
• Bahmani-Oskooee , M and Chomsisengphet , S . 2002 . Stability of M2 money demand function in industrial countries . Applied Economics , 34 : 2075 – 83 .
   Web of Science ®Google Scholar
• Balke , NS and Fomby , TB . 1997 . Threshold cointegration . International Economic Review , 38 : 627 – 43 .
   Web of Science ®Google Scholar
• Bradley , MD and Jansen , DW . 1997 . Nonlinear business cycle dynamics: cross-country evidence on the persistence of aggregate shocks . Economic Inquiry , 35 : 495 – 509 .
   Web of Science ®Google Scholar
• Breitung , J . 2002 . Nonparametric tests for unit roots and cointegration . Journal of Econometrics , 108 : 343 – 63 .
   Web of Science ®Google Scholar
• Chan , K . 1993 . Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model . The Annals of Statistics , 21 : 520 – 33 .
   Web of Science ®Google Scholar
• Dickey , DA and Fuller , WA . 1979 . Distribution of the estimates for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
   Web of Science ®Google Scholar
• Engle , RF and Granger , CWJ . 1987 . Cointegration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 76 .
   Web of Science ®Google Scholar
• Enders , W and Granger , CWJ . 1998 . Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates . Journal of Business and Economic Statistics , 16 : 304 – 11 .
   Web of Science ®Google Scholar
• Enders , W and Siklos , PL . 2001 . Cointegration and threshold adjustment . Journal of Business and Economic Statistics , 19 : 166 – 76 .
   Web of Science ®Google Scholar
• Friedman , BM and Kuttner , KN . 1992 . Money, income, prices, and interest rates . American Economic Review , 82 : 472 – 92 .
   Web of Science ®Google Scholar
• Hafer , RW and Jansen , DW . 1991 . The demand for money in the United States: evidence from cointegration tests . Journal of Money, Credit, and Banking , 23 : 155 – 68 .
   Web of Science ®Google Scholar
• Haug , AA . 1996 . Tests for cointegration: a Monte Carlo comparison . Journal of Econometrics , 71 : 89 – 115 .
   Web of Science ®Google Scholar
• Hoffman , DL and Rasche , RH . 1991 . Long-run income and interest elasticities of money demand in the United States . Review of Economics and Statistics , 73 : 665 – 74 .
   Web of Science ®Google Scholar
• Hoffman , DL , Rasche , RH and Tieslau , MA . 1995 . The stability of long-run money demand in five industrial countries . Journal of Monetary Economics , 35 : 317 – 39 .
   Web of Science ®Google Scholar
• Huang , CJ , Lin , C-FL and Cheng , J-C . 2001 . Evidence on nonlinear error correction in money demand: the case of Taiwan . Applied Economics , 33 : 1727 – 36 .
   Web of Science ®Google Scholar
• Johansen , S . 1988 . Statistical analysis of cointegrating vectors . Journal of Economic Dynamics and Control , 12 : 213 – 54 .
   Web of Science ®Google Scholar
• Lucas , RW Jr . 1988 . Money demand in the United States: a quantitative review . Carnegie-Rochester Conference Series on Public Policy , 29 : 137 – 68 .
   Google Scholar
• MacDonald , R and Taylor , MP . 1992 . A stable US money demand function, 1874–1975 . Economics Letters , 39 : 191 – 98 .
   Web of Science ®Google Scholar
• Miller , SM . 1991 . Monetary dynamics: an application of cointegration and error-correction modelling . Journal of Money, Credit, and Banking , 23 : 139 – 54 .
   Web of Science ®Google Scholar
• Miyao , R . 1996a . Does a cointegrating M2 demand relation really exist in the United States? . Journal of Money, Credit, and Banking , 28 : 365 – 80 .
   Web of Science ®Google Scholar
• Miyao , R . 1996b . Does a cointegrating M2 demand relation really exist in Japan? . Journal of the Japanese and International Economics , 10 : 169 – 80 .
   Google Scholar
• Miyao , R . 1998 . The stability of M1 demand in Japan: 1955–1996 (in Japanese) . Kokumin Keizai Zasshi , 35 : 317 – 39 .
   Google Scholar
• Miyao , R . 2003 . “ Liquidity traps and the stability of money demand: is Japan really trapped at the zero bound? ” . Kobe University . Manuscript
   Google Scholar
• Neftci , SN . 1984 . Are economic time series asymmetric over the business cycle? . Journal of Political Economy , 92 : 307 – 28 .
   Web of Science ®Google Scholar
• Ng , S and Perron , P . 1995 . Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag . Journal of the American Statistical Association , 90 : 268 – 81 .
   Web of Science ®Google Scholar
• Phillips , PCB and Ouliaris , S . 1990 . Asymptotic properties of residual based tests for cointegration . Econometrica , 58 : 165 – 93 .
   Web of Science ®Google Scholar
• Ramsey , JB and Rothman , P . 1996 . Time irreversibility and business cycle asymmetry . Journal of Money, Credit, and Banking , 28 : 1 – 21 .
   Web of Science ®Google Scholar
• Sarno , L . 1999 . Adjustment costs and nonlinear dynamics in the demand for money: Italy, 1861–1991 . International Journal of Finance and Economics , 4 : 155 – 77 .
   Web of Science ®Google Scholar
• Sarno , L , Taylor , MP and Peel , DA . 2003 . Nonlinear equilibrium correction in US real money balances, 1869–1997 . Journal of Money, Credit, and Banking , 35 : 787 – 97 .
   Web of Science ®Google Scholar
• Ueda , K . 1990 . “ Financial deregulations and the demand for money in Japan ” . In Financial Sectors in Open Economies: Empirical Analysis and Policy Issues , Edited by: Hooper , P . 175 – 99 . Board of Governors of Federal Reserve System .
   Google Scholar
• Yoshida , T and Rasche , RH . 1990 . The M2 demand in Japan: shifted and unstable? . Monetary and Economic Studies (Bank of Japan) , 8 : 9 – 30 .
   Google Scholar