TY - JOUR
T1 - Fractional monetary dynamics
AU - Barkoulas, John T.
AU - Baum, Christopher F.
AU - Caglayan, Mustafa
N1 - (1999). Fractional monetary dynamics. Applied Economics: Vol. 31, No. 11, pp. 1393-1400.
PY - 1999/11
Y1 - 1999/11
N2 - We test for fractional dynamics in US monetary series, their various formulations and components, and velocity series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary series (both simple-sum and Divisia indices), in their components (with the exception of demand deposits, savings deposits, overnigth repurchase agreements, and term repurchase agreements), and the monetary base and money multipliers. No evidence of fractional behaviour is found in the velocity series. Granger's (Journal of Econometrics, 25, 1980) aggregation hypothesis is evaluated and implications of the presence of fractional monetary dynamics are drawn.
AB - We test for fractional dynamics in US monetary series, their various formulations and components, and velocity series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary series (both simple-sum and Divisia indices), in their components (with the exception of demand deposits, savings deposits, overnigth repurchase agreements, and term repurchase agreements), and the monetary base and money multipliers. No evidence of fractional behaviour is found in the velocity series. Granger's (Journal of Econometrics, 25, 1980) aggregation hypothesis is evaluated and implications of the presence of fractional monetary dynamics are drawn.
UR - https://www.scopus.com/pages/publications/0032721581
U2 - 10.1080/000368499323274
DO - 10.1080/000368499323274
M3 - Article
SN - 0003-6846
VL - 31
SP - 1393
EP - 1400
JO - Applied Economics
JF - Applied Economics
IS - 11
ER -