An Application of the Seasonal Fractionally Differenced Model to the Monetary Aggregates
季节分数差分模型在货币总量中的应用
In this article, three significant variables used by the U.S. Federal Reserve as targets to shape monetary policy, the monetary aggregates M1, M2, and M3, are examined using a seasonal fractionally differenced model. The sample autocorrelation functions of these monetary variables exhibit a decay pattern at the seasonal lags that is typical of a fractional model. The seasonal fractionally differenced model is found to remove a great deal of the autocorrelation at the…