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Dynamic modelling of the demand for money in Latvia

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  • Boriss Siliverstovs

    ()
    (KOF Swiss Economic Institute, ETH Zurich)

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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Bibliographic 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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References

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  1. Ivars Tillers, 2004. "Money Demand in Latvia," Working Papers 2004/03, Latvijas Banka.
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  24. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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Cited by:
  1. Boriss Siliverstovs, 2008. "Dynamic modelling of the demand for money in Latvia," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 8(1), pages 53-74, October.

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