Money Demand Stability: Evidence from Spain

Posted: 9 Nov 1998

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 analyzed. 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.

JEL Classification: E41, C22

Suggested Citation

Vega-Croissier, Juan Luis, Money Demand Stability: Evidence from Spain. Available at SSRN: https://ssrn.com/abstract=123496

Juan Luis Vega-Croissier (Contact Author)

Europaische Zentralbank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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