Breaks in the UK household sector money demand function

Research output: Contribution to journalArticlepeer-review

Abstract

We use non-parametric procedures to identify breaks in the underlying series of UK household sector money demand functions. Money demand functions are estimated using cointegration techniques and by employing both the Simple Sum and Divisia measures of money. P-star models are also estimated for out-of-sample inflation forecasting. Our findings suggest that the presence of breaks affects both the estimation of cointegrated money demand functions and the inflation forecasts. P-star forecast models based on Divisia measures appear more accurate at longer horizons and the majority of models with fundamentals perform better than a random walk model.

Original languageEnglish
Pages (from-to)47-68
Number of pages22
JournalManchester School
Volume82
Issue numberSuppl.S2
Early online date24 Nov 2013
DOIs
Publication statusPublished - 31 Dec 2014

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