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Inflation-rate volatility and money demand: Evidence from less developed countries

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  • Arize, A. C.
  • Malindretos, John
  • Grivoyannis, Elias C.
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-49V5DJH-1/2/cc901e6dcb3cda75cfe2db634e39279f
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 14 (2005)
    Issue (Month): 1 ()
    Pages: 57-80

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    Handle: RePEc:eee:reveco:v:14:y:2005:i:1:p:57-80

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    Web page: http://www.elsevier.com/locate/inca/620165

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    References

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    1. S. Illeris & G. Akehurst, 2002. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 22(1), pages 1-3, January.
    2. Hendry, David F & Doornik, Jurgen A, 1994. "Modelling Linear Dynamic Econometric Systems," Scottish Journal of Political Economy, Scottish Economic Society, vol. 41(1), pages 1-33, February.
    3. Hirschberg, Joseph G. & Maasoumi, Esfandiar & Slottje, Daniel & Arize, Augustine C., 2003. "Antitrust issues in international comparisons of market structure," Journal of Econometrics, Elsevier, vol. 113(1), pages 129-158, March.
    4. Clements, Michael P. & Mizon, Grayham E., 1991. "Empirical analysis of macroeconomic time series : VAR and structural models," European Economic Review, Elsevier, vol. 35(4), pages 887-917, May.
    5. Laurence Ball, 1990. "Why Does High Inflation Raise Inflation Uncertainty?," NBER Working Papers 3224, National Bureau of Economic Research, Inc.
    6. Juselius, Katarina, 1992. "Domestic and foreign effects on prices in an open economy: The case of Denmark," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 401-428, August.
    7. Dooley, Michael P & Spinelli, Franco, 1989. "The Early Stages of Financial Innovation and Money Demand in France and Italy," The Manchester School of Economic & Social Studies, University of Manchester, vol. 57(2), pages 107-24, June.
    8. J. Wolters & T. Teräsvirta & H. Lütkepohl, 1996. "Modelling the Demand for M3 in the Unified Germany," SFB 373 Discussion Papers 1996,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    9. Ghartey, Edward E., 1998. "Monetary dynamics in Ghana: evidence from cointegration, error correction modelling, and exogeneity," Journal of Development Economics, Elsevier, vol. 57(2), pages 473-486.
    10. David F. Hendry & Neil R. Ericsson, 1990. "Modeling the demand for narrow money in the United Kingdom and the United States," International Finance Discussion Papers 383, Board of Governors of the Federal Reserve System (U.S.).
    11. A. C. Arize & Malindretos John, 2000. "Does Inflation Variability Affect the Demand for Money in China? Evidence from Error-Correction Models," International Economic Journal, Taylor & Francis Journals, vol. 14(1), pages 47-60.
    12. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    13. Engle, Robert F, 1983. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 286-301, August.
    14. Hamburger, Michael J., 1977. "The demand for money in an open economy : Germany and the United Kingdom," Journal of Monetary Economics, Elsevier, vol. 3(1), pages 25-40, January.
    15. Klein, Benjamin, 1977. "The Demand for Quality-adjusted Cash Balances: Price Uncertainty in the U.S. Demand for Money Function," Journal of Political Economy, University of Chicago Press, vol. 85(4), pages 691-715, August.
    16. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
    17. Arize, A. C., 1996. "Real exchange-rate volatility and trade flows: The experience of eight European economies," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 187-205.
    18. Dilip K. Ghosh & Augustine C. Arize, 2003. "Profit Possibilities in Currency Markets: Arbitrage, Hedging, and Speculation," The Financial Review, Eastern Finance Association, vol. 38(3), pages 473-496, 08.
    19. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521586115, December.
    20. Smirlock, Michael, 1982. "Inflation Uncertainty and the Demand for Money," Economic Inquiry, Western Economic Association International, vol. 20(3), pages 355-64, July.
    21. Pagan, Adrian & Ullah, Aman, 1988. "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.
    22. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
    23. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
    24. Mizrach, Bruce & Santomero, Anthony M., 1990. "A liquidity-in-advance model of the demand for money under price uncertainty," Journal of Monetary Economics, Elsevier, vol. 26(1), pages 143-159, August.
    25. Blejer, Mario I, 1979. "The Demand for Money and the Variability of the Rate of Inflation: Some Empirical Results," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(2), pages 545-49, June.
    26. Sweeney, Richard J., 1988. "Inflation risk and the speed of adjustment in short-run money demand functions," Economics Letters, Elsevier, vol. 26(3), pages 271-276.
    27. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    28. Allen, Stuart D, 1982. "Klein's Price Variability Terms in the U.S. Demand for Money: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 14(4), pages 525-30, November.
    29. Arize, Augustine C & Osang, Thomas & Slottje, Daniel J, 2000. "Exchange-Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 10-17, January.
    30. Choudhry, Taufiq, 1999. "Does Interest Rate Volatility Affect the US M1 Demand Function? Evidence from Cointegration," Manchester School, University of Manchester, vol. 67(6), pages 621-48, December.
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    Cited by:
    1. Hernández Monsalve, Mauricio A. & Posada Posada, Carlos Esteban, 2006. "La demanda por dinero en Colombia: un poco más de evidencia en el período reciente," PERFIL DE COYUNTURA ECONÓMICA, UNIVERSIDAD DE ANTIOQUIA - CIE.
    2. Mauricio Hernández Monsalve & Munir A. Jalil Barney & Carlos Esteban Posada, 2006. "¿Por qué ha crecido tanto la cantidad de dinero?: teoría y Evidencia Internacional (1975-2002)," BORRADORES DE ECONOMIA 003821, BANCO DE LA REPÚBLICA.
    3. Leong, Choi-Meng & Puah, Chin-Hong & Abu Mansor, Shazali & Evan, Lau, 2008. "Testing the Effectiveness of Monetary Policy in Malaysia Using Alternative Monetary Aggregation," MPRA Paper 10568, University Library of Munich, Germany.
    4. Arize, Augustine C. & Nippani, Srinivas, 2010. "Import demand behavior in Africa: Some new evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 254-263, August.
    5. Mauricio A. Hernández & Munir Jalil Barney & Carlos Esteban Posada, . "¿Por qué ha crecido tanto la cantidad de dinero?: teoría y evidencia internacional (1975-2002)§," Borradores de Economia 402, Banco de la Republica de Colombia.

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