Electronic Resource
Springer
Empirical economics
23 (1998), S. 387-400
ISSN:
1435-8921
Keywords:
Money demand
;
cointegration
;
stability
;
regime shift
;
E41
;
C22
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is analysed. The results indicate that shifts affecting the demand for ALP2 in recent years have substantially altered its long-run properties. As to the cause of this structural break, emphasis is placed on the role played by the increasing openness of the Spanish financial system to international markets as obstacles to free capital movements have progressively disappeared.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01294414
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