Further publications of the WIFO research staff members

The extensive publication activities of the staff members mirror the close links with the international scientific community.

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Marcus Scheiblecker, Modelling Short-run Money Demand for the US

Applied Economics and Finance, 2017, (5), pp.9-20, http://redfame.com/journal/index.php/aef/issue/view/115
There is a vast amount of empirical evidence concerning the cointegrating relationship between money demand, some kind of interest rate and income. In contrast to this, short-run dynamics are still opaque. In the existing literature, the return to steady state is modelled quite differently. The range goes from simple error correction models to non-linear approaches. Here a method is proposed for considering not only disequilibria between money demand and its steady state of only the last period but also those of the recent past in a parsimonious and economically meaningful way. Different to multicointegration, weights for cumulating steady-state deviations are geometrically decreasing the more they are located in the past. This model possesses an ARMA (1,1) representation and leads to an ARMAX model if combined with a conventional error correction model. This approach is shown to track money demand short-run dynamics better and more parsimoniously than partial-adjustment models.
Research group:Macroeconomics and European Economic Policy