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Dynamic modelling of the demand for money in Latvia

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Author Info
Boriss Siliverstovs () (KOF Swiss Economic Institute, ETH Zurich)

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Abstract

This study develops a money demand model for Latvia for the period from 1996 to 2006. The model isspecified in the error-correction form based on a single co-integrating vector between real money balances, gross domestic product, long-term interest rate, and the rate of inflation. The model meets all three requirements for ‘stability’ put forward in Judd and Scadding (1982). The model is both well-specified and highly parsimonious. It demonstrates high explanatory power in sample as well as accurately forecasting real money balances out of sample.

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Publisher Info
Article provided by Baltic International Centre for Economic Policy Studies in its journal Baltic Journal of Economics.

Volume (Year): 8 (2008)
Issue (Month): 1 (October)
Pages: 53-74
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Handle: RePEc:bic:journl:v:8:y:2008:i:1:p:53-74

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Related research
Keywords: M2 money demand; stability; new EU Member States; Latvia;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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  3. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March. [Downloadable!] (restricted)
    Other versions:
  4. Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June. [Downloadable!] (restricted)
    Other versions:
  5. Andreea Andronescu & Hassan Mohammadi & James E. Payne, 2004. "Long-run estimates of money demand in Romania," Applied Economics Letters, Taylor and Francis Journals, vol. 11(14), pages 861-864, November. [Downloadable!] (restricted)
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    Other versions:
  17. Markus Knell & Helmut Stix, 2006. "Three decades of money demand studies: differences and similarities," Applied Economics, Taylor and Francis Journals, vol. 38(7), pages 805-818, April. [Downloadable!] (restricted)
  18. Markus Knell & Helmut Stix, 2004. "Three Decades of Money Demand Studies. Some Differences and Remarkable Similarities," Working Papers 88, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
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