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Fractional cointegration and the demand for M1 / by Greg Tkacz.: FB3-2/100-13E

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This paper extends the long-run analysis of money demand into the sphere of fractional cointegration. This extension is motivated by the fact that traditional methods of cointegration analysis yield relationships that are not as stationary as they are believed to be. Our results demonstrate that money gaps arising from simple money-demand systems are at best fractionally integrated, and at worst random walks.--Conclusion

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Publication information
Department/Agency
  • Bank of Canada.
TitleFractional cointegration and the demand for M1 / by Greg Tkacz.
Series title
  • Working paper 1192-5434 2000-13
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital text-[English]
Note(s)
  • "This paper extends the long-run analysis of money demand into the sphere of fractional cointegration. This extension is motivated by the fact that traditional methods of cointegration analysis yield relationships that are not as stationary as they are believed to be. Our results demonstrate that money gaps arising from simple money-demand systems are at best fractionally integrated, and at worst random walks."--Conclusion.
  • Résumé en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 2000.
BindingSoftcover
Descriptionv, 23p. : figs., references, tables ; 28 cm.
ISBN0-662-29133-6
ISSN1192-5434
Catalogue number
  • FB3-2/100-13E
Subject terms
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