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Linking Money Supply With The Gross Domestic Product In Romania

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Author Info

  • Daniela Zapodeanu

    (University of Oradea)

  • Mihail Ioan Cociuba

    (University of Oradea)

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    Abstract

    Evolution of money supply and gross domestic product are in a close relationship, inthis paper we analysis this relationship in order to construct a function which will explicit thisconnection for Romania. Evolution of gross domestic product is one with a seasonal component sofrom the data series we will be eliminating seasonality with the X-12 ARIMA method. Analyzing thedata of money supply (M3) and of GDP over ten years through the Augmented Dickey-Fuller weobtained that both series are non-stationary. Applying the co-integration analysis method Engle-Granger we conclude that the two series have a cointegration relationship between them. We willpropose a model explanation of the link between the two sets of data type, a DVAR model.

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    Bibliographic Info

    Article provided by Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia in its journal Annales Universitatis Apulensis Series Oeconomica.

    Volume (Year): 1 (2010)
    Issue (Month): 12 ()
    Pages: 50

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    Handle: RePEc:alu:journl:v:1:y:2010:i:12:p:50

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    Related research

    Keywords: money supply (M3); GDP; seasonality; stationarity; cointegration; DVAR.;

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    1. Bernd Hayo, 1999. "The Demand For Money In Austria," Macroeconomics 9902012, EconWPA.
    2. Pop Silaghi, Monica Ioana, 2009. "Exports-Economic Growth Causality: Evidence from CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(2), pages 105-117, June.
    3. Ozturk, Ilhan & Acaravci, Ali, 2008. "The Demand for Money in Transition Economies," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(2), pages 35-43, June.
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