publication . Article . 1993

Is Money Really Exogenous? Testing for Weak Exogeneity in Swiss Money Demand

Fischer, Andreas M;
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  • Published: 01 Jan 1993 Journal: Journal of Money, Credit and Banking, volume 25, page 248 (issn: 0022-2879, Copyright policy)
  • Publisher: JSTOR
Abstract
Although exogeneity is often associated with controllable policy variables, Engle, Hendry, and Richard (1983) show that the one condition is neither necessary nor sufficient for the other. Whether variables such as monetary aggregates are (weakly) exogenous depends on the conditioning properties of the data generating process. Testing exogeneity claims represents an important step in analyzing money demand functions. Although Switzerland adheres to fairly strict monetarist prescriptions, we reject the hypothesis that M0 and M1 are weakly exogenous for a price equation. Our results for M1 support the conventional view in which money market equations reflect the d...
Subjects
free text keywords: Economics and Econometrics, Accounting, Finance, Endogeneity, Demand for money, Variables, media_common.quotation_subject, media_common, Price equation, Economics, Monetarism, Macroeconomics, Endogenous money, Money market, Monetary economics
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