Stability of a U. K. Money Demand Equation: A Bayesian Approach to Testing Exogeneity
分析英国M3货币需求方程，关注1971年竞争与信贷控制政策变化，使用经典和贝叶斯工具变量方法检验短期利率的外生性及参数稳定性，发现短期方程参数和外生性状态改变，但长期方程参数受影响较小。
The paper analyses an M3 demand for money equation for the United Kingdom. Attention is paid to the policy change that occurred in 1971 with the introduction of the measure known as Competition and Credit Control. Classical and Bayesian single equation instrumental variables procedures are developed to investigate the exogeneity of the short-term interest rate and the constancy of the parameters of the underlying relationships. The parameters of the short-term equation have changed as well as the exogeneity status of the interest rate variable but the parameters of the long-term equation appear to be less affected by the policy change.