The empirical analysis is mainly concerned with the aggregate demand for money relation as part of a small macroeconomic system. Using the theory of cointegrated VAR models for I(2) data the long-run relationships in the data are first investigated, and the ML-estimates of the corresponding cointegration vectors and common trends are discussed and given an economic interpretation of steady-state relations and driving forces. The sample period includes an important regime shift at 1983 when most of the previous controls on the capital movements were lifted. Identifying restrictions are imposed both on the long-run and the short-run structure. The final model describes the dynamic adjustment to short-run changes of the process, to deviations from long-run steady-states, and to several political interventions. it has stable parameters, good statistical properties, and provides some new insights about the effects of capital liberalization on the determination of money, income, prices, and interest rates in a small open economy