The object of this study is to utilize the tools of modern time series analysis to determine the role of an aggregate demand for real balances in the generation of macroeconomic time series. It determines the consequences that nonstationarity has for the study of aggregate money demand relations.

A significant characteristic of this research is the identification and estimation of this demand function in a multivariate framework, in contrast to most existing studies that concentrate on a single equation framework.

1. Background. 2. The Development and Failures of the Empirical Literature on the Demand for Money. 3. Identification, Estimation and Inference in Co-integrated Systems. 4. A Framework for Structural and Dynamic Analysis in Co-integrated Systems. 5. A Prototype Economic Model Characterized by Co-integration. 6. Analysis of Three Variable VECM Models Including Demand Functions for Real Balances. 7. Higher Dimensional VECM Models with Long-Run Money Demand Functions. 8. Combining Term Structure and Fisher Effects.