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Kurita, Takamitsu

MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS

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  • Media type: E-Article
  • Title: MODELLING TIME SERIES DATA OF MONETARY AGGREGATES USINGI(2) ANDI(1) COINTEGRATION ANALYSIS
  • Contributor: Kurita, Takamitsu
  • imprint: Wiley, 2013
  • Published in: Bulletin of Economic Research, 65 (2013) 4, Seite 372-388
  • Language: English
  • DOI: 10.1111/j.1467-8586.2011.00400.x
  • ISSN: 0307-3378; 1467-8586
  • Origination:
  • Footnote:
  • Description: <jats:title>ABSTRACT</jats:title><jats:p>The objective of this paper is to consider methodology for modelling time series data of monetary aggregates such as monetary base and broad money. A brief review is made with regard to the likelihood‐based cointegration analysis of<jats:italic>I</jats:italic>(2) (integrated of order 2) data and<jats:italic>I</jats:italic>(2)‐to‐<jats:italic>I</jats:italic>(1) transformations. The paper then investigates procedures for econometric modelling of monetary aggregates, which are in general deemed to be<jats:italic>I</jats:italic>(2) variables analogous to price indices. It is shown that<jats:italic>I</jats:italic>(2)‐to‐<jats:italic>I</jats:italic>(1) transformations centering on a money multiplier play an important role in the modelling procedures. Finally, the study presents an empirical illustration of the proposed methodology using monetary aggregate data from Japan.</jats:p>