RDP 8701: The Australian Demand Function for Money: Another Look at Stability Appendix

Glenn Stevens, Susan Thorp and John Anderson

January 1987

Table A.1 Sharpe and Volker's Equations
  Constant ΔS1 ΔS2 ΔS3 R2-RFD LENDP ΔAB−1 Inline Equation ΔlnR2−1 Inline Equation R−2 DW
                  i=0,
…,6		 i=0,
…,5		 i=1,
…,4		    
SV-4 Original 52(2)–72(3) −0.001 −0.018 0.012 0.019 −0.005 −0.006 0.24 0.248 −0.029   0.992 1.87
  Dependent =
Inline Equation		 (−0.64) (−4.06) (1.57) (2.86) (−3.18) (−2.28) (5.98) (6.5) (−2.07)      
                  0.130 (4.00) −0.025 (−2.78) −0.584 (−4.28)    
                  0.095 (2.97) −0.016 (−1.65) −0.743 (−4.17)    
                  0.110 (4.41) −0.005 (−0.64) −0.600 (−3.56)    
                  0.142 (5.67) 0.003 (0.34) −0.303 (−2.20)    
                  0.157 (4.92) 0.006 (0.69)      
                  0.121 (4.30)        
                  i=0, …,6 i=0, …, 5 i=1, …, 4    
                           
SV-5 Revised 52(3)–72(3) 0.011 0.000 −0.027 −0.024 −0.005 −0.008 0.168 0.088 −0.028   0.876 1.84
  Dependent =
Inline Equation		 (2.754) (0.169) (−12.16) (−12.43) (−3.079) (−2.782) (1.658) (1.602) (−1.332)      
                  0.086 (1.988) −0.042 (−2.103) −0.31 (−1.673)    
                  0.084 (2.343) −0.014 (−0.843) −0.239 (−1.611)    
                  0.082 (2.305) −0.000 (−0.024) −0.167 (−1.254)    
                  0.079 (1.872) −0.005 (−0.27) −0.096 (−0.649)    
                  0.077 (1.428) 0.017 (0.789) −0.025 (−0.133)    
                  0.075 (1.103)        
Table A.2 Sharpe and Volker's Equations
  Constant ΔS1 ΔS2 ΔS3 ΔDS2 R2-RFD LENDD ΔAB−1 ΔlnDRD−i ΔlnDRTB−i ΔAB72−i Inline Equation ΔlnR2−i Inline Equation R−2 DW
                    i=0,
….2		 i=0,1 i=0,1 i=0.
…,6		 i=0,
…,5		 i=1.
…,4		    
SV-6 Original 52(3)-75(1) −0.001 0.023 0.02 0.024 0.01 −0.0046 −0.005 0.225 0.189 0.10 0.77 0.291 −0.03   0.919 1.6
  Dependent =
Inline Equation		 (−0.62) (4.64) (2.37) (3.18) (2.54) (−2.77) (−1.62) (4.97) (4.95) (0.75) (2.04) (7.00) (−1.9)      
                    0.033 (1.25) 0.110 (4.81) 0.086 (2.16) 0.155 (4.38) −0.022 (−2.11) −0.509 (−3.36)    
                    0.068 (2.41)     0.013 (2.86) −0.018 (−1.60) −0.726 (−3.67)    
                          0.103 (3.70) −0.016 (−1.65) −0.626 (−3.28)    
                          0.124 (4.39) −0.013 (−1.32) −0.340 (−2.17)    
                          0.135 (3.67) −0.008 (−0.91)      
                          0.104 (3.19)        
SV-7 Revised 52(3)-75(l) 0.015 0.001 −0.025 −0.023 0.008 −0.006 −0.004 −0.001 −0.01 −0.003 0.001 0.081 −0.032   0.856 1.66
  Dependent =
Inline Equation		 (3.50) (0.563) (−10.433) (−11.094) (1.454) (−3.120) (−1.422) (−0.602) (−0.688) (−0.242) (1.761) (1.462) (−1.658)      
                    −0.025 (−1.513) 0.009 (0.687) 0.001 (2.296) 0.064 (1.456) −0.055 (−3.528) 0.46 (2.233)    
                    −0.005 (−0.679)     0.047 (1.309) −0.013 (−0.880) 0.325 (1.871)    
                          0.031 (0.898) −0.024 (−1.574) 0.19 (1.27)    
                          0.141 (0.362) −0.067 (−3.597) 0.054 (0.344)    
                          −0.003 (−0.052) 0.017 (0.884) −0.081 (−0.454)    
                          −0.019 (−0.316)        
Table A.3 Sharpe and Volker's Equations
  Constant ΔS1 ΔS2 ΔS3 ΔDS2 R2-RFD LENDO AB-1 ΔDRFD−i ΔDRTB−i ΔAB72−i Inline Equation ΔlnR2−i Inline Equation R−2 DW
                    i=0,
…,2		 i=0,1 i=0,1 i=0,
…,6		 i=0,
…,6		 i=1,
..,4		    
SV-8 Updated 52(3)–86(1) 0.004 0.004 −0.024 −0.021 0.007 −0.001 −0.004 0.000 0.012 −0.009 0.001 0.163 −0.022   0.757 1.74
  Dependent =
Inline Equation		 (0.998) (1.876) (−10.39) (−10.07) (1.149) (−0.729) (−1.543) (0.040) (−0.807) (−0.766) (1.733) (3.245) (−1.204)      
                    0.004
(0.274)		 −0.014
(−0.969)		 0.001
(1.810)		 0.140
(3.477)		 −0.048
(−3.121)		 0.186
(1.284)		    
                    0.008
(1.651)		     0.117
(3.480)		 −0.021
(−1.622)		 0.080
(0.703)		    
                          0.094
(2.905)		 −0.025
(−1.946)		 −0.025
(−0.258)		    
                          0.071
(1.921)		 −0.045
(−2.84)		 −0.131
(−1.255)		    
                          0.049
(1.054)		 0.029
(1.759)		 −0.237
(−1.831)		    
                          0.026
(3.448)		        
R2, P
Si = same as S2 from 1952(1) to 1955(4)
RFD = interest rate on 12 month fixed deposits of less than $50,000 at trading banks
DRFD = RFD for 1971(4)–1976(1)
IENDD = synthetic variable for Central Bank Lending directives – 1 in 1952(1–3), 1955(3)–1957(1). 1960(1)–1961(2). 1964(4)–1966(2). 1967(2–3).
1968(4)–1969(1), 1970(2)–1971(4). 1973(3)–1974(3) = 0.5 in 1969(3)–1970(1).
AB = per cent growth in “liquidity augmented monetary base”* from 1952(1) to 1956(4).
DRTB = yield on 90-day Trade Bill for 1971(4)–1975(1).
AB72 = per cent growth in “liquidity-augmented monetary base” for 1972(1)–1975(1)
γ = GDP as defined in Table 1A.

* Liqudity-augmented monetary based defined as holdings of coin, bullion, and deposits of the Central Bank and Conmonwealth Government Securities by trading banks, and holdings of currency by the public.