Skip to main content

Table 2 Cointegration test and estimates, M1, real income, price level, interest rates, and bank balance sheet total, Switzerland, 1851–1906

From: Money demand under free banking: Switzerland 1851–1906

m t  = p t  + y t  + b1rs t  + b2 exp(bb t  − y t  − p t ) + b3nb t  + u1t

exp(bb t  − y t  − p t ) = b4y t  + u2t,

bb t  − p t  = b5y t  + b6(rm t  − rs t ) + u3t,

rm t  = b7 rs t  + u4t.

Equation

b 2

b 3

b 4

b 5

b 6

b 7

R2

DW

Phillips-Ouliaris Test

Hansen Test

m-p-y

0.352*** (0.0317)

0.220** (0.067)

    

0.970

0.634

− 4.547**

0.201

exp(bb-y-p)

  

1.221*** (0.120)

   

0.955

0.794

− 4.020**

0.234

bn

   

0.629*** (0.0796)

130.92*** (28.883)

 

0.700

0.553

− 3.327*

0.219

rm

     

1.440*** (0.0620)

0.938

0.843

− 3.874**

0.244

  1. Standard errors in parenthesis
  2. *Significant at the 10% level, **significant at the 5% level, ***significant at the 1% level