The Instability of the Money Demand Function: An I(2) Interpretation
发现，对英国广义M4施加长期价格同质性无法消除所有I(2)成分，但对M4的部门成分有效，这解释了为何部门货币需求函数更稳定。
Some studies have suggested that although money and prices appear to be I(2) processes, real money balances are I(1) and this transformation preserves an important long‐run relationship between money and prices. In this paper we present evidence indicating that the success of such a nominal‐to‐real transformation depends upon the particular monetary aggregate under consideration. It turns out that imposing long‐run price homogeneity does not remove all I(2) components from a model of aggregate broad UK M4, but it does prove successful in the case of sectoral components of M4. Since recent research on money demand functions finds more stable relationships between sectoral components of M4 and aggregate demand, our analysis seems to point to a direct link between the existence of I(2) components and the stability of different money demand functions.