THE DISAGGREGATED MONEY DEMAND IN THE LONG-RUN

The results of past research on the long-run stationarity of money dem and has been mixed. We explore the possibility that these mixed result s are related to the aggregate nature of standard measures of money by investigating the disaggregated money components to test for long-run stationarity. A stochastic trends model for a vector of disaggregated monetary measures is estimated. Our findings indicate that only the t ime deposit component shows consistent evidence of cointegration. Sinc e time deposits represent two-thirds of M2, this may be the reason why past research has found marginal support for M2 stationarity, but lim ited support for narrower monetary aggregates.