Estimation of Disequilibrium Models by PD Dr. Hans-Jürg Büttler, Dr. Gertrud Frei, Prof. Dr. Bernd PDF
By PD Dr. Hans-Jürg Büttler, Dr. Gertrud Frei, Prof. Dr. Bernd Schips (auth.)
This monograph grew out of a venture which used to be backed by means of the Swiss nationwide starting place ("Schweizerischer Nationalfonds") lower than furnish no. four. 636-0. eighty three. 09. Yithin this undertaking, prediction-oriented estimation tools for the canonical econometric disequilibrium version have been built. the current monograph bargains with the appliance of those estimation recommendations to 3 aggregative markets of the Swiss economic climate. elements of the monograph were provided at a number of areas: the estimation ideas defined in bankruptcy three on the ecu assembly of the Econometric Society, Madrid 1984; the appliance to residential funding defined in bankruptcy four at a symposium on housing coverage on the college of Mannheim, 1984; the empirical examine at the cash inventory defined in bankruptcy five on the Symposium on cash, Banking and assurance held on the college of Karlsruhe, 1984, in addition to at a joint seminar of the collage of Basle and the financial institution for overseas Settlements (BIS), 1985; and, eventually, the empirical research at the mixture exertions industry defined in bankruptcy 6 at a seminar of the collage of ZUrich, 1985. reviews from toe seminar individuals, particularly from Palle S. Andersen (BIS) who served as a discussant, Pascal Bridel (Swiss nationwide financial institution, SNB), Franz Ettlin (SNB), and Kurt Schiltknecht (Nordfinanz-Bank, Zurich) are gratefully said, with out implying any accountability on their half. The methodological half defined in chapters 2 and three is contributed via G. Frei and B.
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Finally, it should be noted that it is not the purpose of this study to find either a suitable sample size for a given money-demand or money-supply function, or, with the help of a trial-and-error process, to develop suitable functions for a given sample size in order to forecast the stock of money, say. This study aims to emphasize the explanatory power of disequilibrium versus equilibrium models with the same underlying demand and supply functions. , has shifted in the last decade. This fact has been attributed to financial innovations and institutional changes in the financial markets, as well as to the introduction of sophisticated methods of cash management by corporations.
This fact has been attributed to financial innovations and institutional changes in the financial markets, as well as to the introduction of sophisticated methods of cash management by corporations. Yhereas the shift in the money-demand curve has been accentuated since the introduction of floating exchange rates (Laidler, 1980, Judd and Scadding, 1982), there is some empirical evidence that such shifts have also occurred, albeit to a much smaller extent, in earlier observation periods comprising both a pre-war and post-war sample (Schelbert, 1972).
Re-estimation on the basis of annual data, however, is not possible due to the limited data set. In addition, it might be possible that adjustments take place, on average, every second, fourth or other month, or that there are no adjustments at all. For instance, Schelbert (1967) and Rich and Beguelin (1982) find empirical evidence supporting instantaneous money-demand functions, whereas our results, not reported here, do not (similar estimates are shown in Table 5). ) is not significantly different from zero, the high coefficient of first-order autocorrelation points to a possible misspecification, too.
Estimation of Disequilibrium Models by PD Dr. Hans-Jürg Büttler, Dr. Gertrud Frei, Prof. Dr. Bernd Schips (auth.)