DP3249 Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997
|Author(s):||David Peel, Lucio Sarno, Mark P Taylor|
|Publication Date:||March 2002|
|Keyword(s):||adjustment costs, demand for money, equilibrium correction, non-linear dynamics|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=3249|
Several theoretical models of money demand imply non-linear functional forms for the aggregate demand for money characterized by smooth adjustment towards long-run equilibrium. In this Paper, we propose a non-linear equilibrium correction model of US money demand, which is shown to be stable over the sample period from 1869 to 1997.