Forty Years of Empirical Evidence of Cointegration and Nonlinear Equilibrium Correction in UK Money Demand Since the XIXth Century
使用非线性协整和均衡校正方法，估计了1877-2023年英国广义货币需求，发现除与超额通胀相关的结构性变化外，货币需求动态保持稳定。
ABSTRACT Since the seminal contributions of Friedman and Schwartz and of Hendry and Ericsson, instability in money demand has remained a central issue in the literature. This study broadens and generalizes the first evidence for the United Kingdom of stable long‐ and short‐run broad money demand extending back to the nineteenth century. Using nonlinear cointegration and nonlinear equilibrium‐correction methods, we estimate broad money demand over 1877–2023. Our results indicate stable dynamics alongside episodic structural changes linked to excess inflation, defined as inflation approximately 6.5 percentage points above the historical mean rate of 2.2% observed since 1877.