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Demanda de dinero en América Latina, 1996-2016: una aplicación de cointegración en datos de panel

Author

Listed:
  • Alfredo Villca
  • Alejandro Torres
  • Carlos Esteban Posada
  • Hermilson Velásquez

Abstract

El estudio de la demanda de dinero es importante porque permite comprender los efectos de la política monetaria. En este trabajo se estima la demanda de dinero para quince países de América Latina entre 1996 y 2016 usando el método de cointegración en panel y estimación FMOLS. Adicionalmente, se estima un modelo de factores comunes dinámicos para probar la existencia de tendencias comunes. Los resultados muestran una relación de largo plazo entre la demanda de dinero, el nivel de ingreso y los tipos de interés. Sin embargo, no existe evidencia de factores comunes entre países, lo que es consistente con la heterogeneidad observada en las elasticidades estimadas. Contrario a lo esperado, en varios casos se observa una elasticidad-ingreso mayor a uno, lo que se asocia a incrementos en las percepciones de riesgo de los agentes que afectan sus preferencias por liquidez.

Suggested Citation

  • Alfredo Villca & Alejandro Torres & Carlos Esteban Posada & Hermilson Velásquez, 2020. "Demanda de dinero en América Latina, 1996-2016: una aplicación de cointegración en datos de panel," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 85(6), June.
    • Handle: RePEc:col:000090:018226
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    References listed on IDEAS

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    More about this item

    Keywords

    macroeconomía; dinero; análisis econométrico; América Latina;
    All these keywords.

    JEL classification:

    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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