A Comparison of Money Demand in Four Industrialized Countries Using Seemingly Unrelated Regressions

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In this study, the possibility that money demand of one country might be affected by macroeconomic activities of other countries is investigated. We use the seemingly unrelated regression (SUR) technique, which takes into account all covariances between residuals of country-specific money demand equations. Efficiency of estimates using the SUR technique is enhanced because it uses information contained in the contemporaneous correlation of the error terms. The hypothesis of economic interdependence is tested. A proxy for foreign influence, deviation from interest rate parity (DIRP), is tested for significance in the money demand function.

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vi, 133 leaves: ill.

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Dheeriya, P. L. (Prakash Lachmandas) August 1987.

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In this study, the possibility that money demand of one country might be affected by macroeconomic activities of other countries is investigated. We use the seemingly unrelated regression (SUR) technique, which takes into account all covariances between residuals of country-specific money demand equations. Efficiency of estimates using the SUR technique is enhanced because it uses information contained in the contemporaneous correlation of the error terms. The hypothesis of economic interdependence is tested. A proxy for foreign influence, deviation from interest rate parity (DIRP), is tested for significance in the money demand function.

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vi, 133 leaves: ill.

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  • August 1987

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Dheeriya, P. L. (Prakash Lachmandas). A Comparison of Money Demand in Four Industrialized Countries Using Seemingly Unrelated Regressions, dissertation, August 1987; Denton, Texas. (https://digital.library.unt.edu/ark:/67531/metadc330950/: accessed July 18, 2024), University of North Texas Libraries, UNT Digital Library, https://digital.library.unt.edu; .

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