RDP 9314: The Demand for Money in Australia: New Tests on an old Topic 4. Cointegration

Table 3: Summary of Cointegration Results
Regressors Money Aggregates GDP GDP O/R GDP BILL GDP 2yr GDP 10yr GNE GNE O/R GNE BILL GNE 2yr GNE 10yr PFD PFD O/R PFD BILL PFD 2yr PFD 10yr Outcome
E = cointegration at the 5 per cent critical level using the Engle-Granger Procedure.
J = cointegration at the 5 per cent critical level using the Johansen Procedure.
CURRENCY NO – NO E/J E/J NO – NO E/J NO NO – J J NO 8/24
MB NO – NO E NO NO – NO NO NO NO – NO NO NO 1/24
MB-SRD NO – NO J NO NO – NO J NO NO – NO NO NO 2/24
MB-AMMD NO – NO NO NO NO – NO NO NO NO – NO NO NO 0/24
MB-SRDAMMD NO – NO J NO NO – NO J NO NO – NO J NO 3/24
NC-MB NO – NO NO NO NO – NO NO NO NO – NO NO NO 0/24
NC-MB-SRD NO – NO J NO NO – NO J NO NO – NO NO NO 2/24
NC-MB-AMMD NO – NO NO NO NO – NO NO NO NO – NO NO NO 0/24
NC-MB-SRDAMMD NO – NO J NO NO – NO J NO NO – NO J NO 3/24
M1 NO NO NO NO NO NO NO NO NO NO NO NO NO NO NO 0/30
M3 NO J NO J NO NO NO NO NO NO NO NO NO J NO 3/30
M3-BA NO J NO NO NO NO NO NO NO NO NO NO NO NO NO 1/30
BROAD MONEY NO NO NO NO NO J NO J J J NO NO E NO NO 5/30