文章基本信息

标题：Non-linear dynamics in the euro area demand for M1
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作者：Alessandro Calza ; Andrea Zaghini
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2006
出版社：European Central Bank
摘要：This paper investigates possible non-linearities in the dynamics of the euro area demand for the narrow aggregate M1. A long-run money demand relationship is rstly estimated over a sample period covering the last three decades. While the parameters of the relationship are jointly stable, there are indications of non-linearity in the residuals of the error-correction model. This non-linearity is explicitly modelled using a fairly general Markov switch- ing error-correction model with satisfactory results. The empirical ndings of the paper are consistent with theoretical predictions stemming from bu¤er stockand target-thresholdmodels and with analogous empirical evidence for European countries and the US.
关键词：Euro area; cointegration; non-linear error correction; demand;for money