Abstract
The Stability of German Money Demand: Tests of the Cointegration Relation. — In this study, two money demand functions are specified in single equation error correction as well as triangular error correction form involving real M1 (M3), real GNP, a short-and a long-term interest rate. Using various tests, it is shown that there may be a cointegration relation even after the German Monetary Union (GMU) was established in 1990. But the long-run coefficients of GNP and the interest rate probably have a structural break in 1973, when the Bundesbank changed its monetary regime, and in 1990, when the GMU was formed. The tests support weak exogeneity of real GNP and the interest rate.
Zusammenfassung
Die Stabilität der deutschen Geldnachfrage: Test der Kointegrationsbeziehung. — In diesem Aufsatz werden zwei Geldnachfragefunktionen spezifiziert, und zwar sowohl in Gestalt einzelner Fehlerkorrekturgleichungen als auch in Gestalt eines rekursiven Modells in Fehlerkorrekturform. Sie enthalten das reale Ml (M3), das reale BSP und einen kurz-und langfristigen Zinssatz. Mit Hilfe verschiedener Tests wird gezeigt, daß es eine Kointegrationsbeziehung sogar für die Zeit nach Bildung der deutschen Währungsunion im Jahre 1990 geben könnte. Aber die langfristigen Koeffizienten des BSP und des Zinses haben vermutlich einen Strukturbruch im Jahre 1973, als die Bundesbank ihr geldpolitisches Verfahren änderte, und im Jahre 1990, als die deutsche Währungsunion gebildet wurde. Die Tests stützen die Annahme schwacher Exogenität des realen BSP und des Zinssatzes.
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