Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece
AbstractThis paper examines the behaviour of the demand for money in Greece during 1976Q1 to 2000Q4, a period that witnessed many of the influences that cause money-demand instability. Two empirical methodologies, vector error correction (VEC) modelling and second-generation random coefficient (RC) modelling, are used to estimate the demand for money. The coefficients of both the VEC and RC procedures support the hypothesis that the demand for money becomes more responsive to both the own rate of return on money balances and the opportunity cost of holding money because of financial deregulation. In general, both procedures also support the hypothesis that the income elasticity of money demand declines over time as a result of technological improvements in the payments system and the development of money substitutes, which lead to economies of scale in holding money. Copyright 2003 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.
Volume (Year): 65 (2003)
Issue (Month): 5 (December)
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- Sophocles N. Brissimis & George Hondroyiannis & P.A.V.B. Swamy & George S. Tavlas, 2003. "Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece," Working Papers 01, Bank of Greece.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
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