Money demand function: a heterogeneous panel application
AbstractAn aggregate data panel is constructed for the GCC's six countries and the cointegration hypothesis among the variables of the money demand function is verified using Pedroni's heterogeneous panel cointegration tests. The idiosyncratic, panel and group-mean cointegrating vectors are then estimated using FMOLS and a modified version of FMOLS developed by Pedroni. The idiosyncratic elasticities have the expected signs in general but are significant only in the case of the scale variable. However, when the power of the test is increased, and allowance made for heterogeneous cointegrating vectors, the group-mean estimator shows a significant negative semi-elasticity of money demand with respect to interest rate.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 11 (2004)
Issue (Month): 9 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20
Other versions of this item:
- Nasri Harb, 2003. "Money Demand Function: A heterogeneous Panel Application," Economics Working Papers 03/04-01, Department of Economics, College of Business and Economics, UAE University.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kumar, Saten & Chowdhury, Mamta & Rao, B. Bhaskara, 2010.
"Demand for Money in the Selected OECD Countries: A Time Series Panel Data Approach and Structural Breaks,"
22204, University Library of Munich, Germany.
- Saten Kumar & Mamta B. Chowdhury & B. Bhaskara Rao, 2013. "Demand for money in the selected OECD countries: a time series panel data approach and structural breaks," Applied Economics, Taylor & Francis Journals, vol. 45(14), pages 1767-1776, May.
- Nasri Harb, 2007.
"Trade between Euro zone and Arab countries: a panel study,"
Taylor & Francis Journals, vol. 39(16), pages 2099-2107.
- Harb, Nasri, 2006. "Trade Between Euro Zone and Arab Countries: a Panel Study," MPRA Paper 13675, University Library of Munich, Germany.
- Darrat, Ali F. & Al-Sowaidi, Saif S., 2009. "Financial progress and the stability of long-run money demand: Implications for the conduct of monetary policy in emerging economies," Review of Financial Economics, Elsevier, vol. 18(3), pages 124-131, August.
- Frauke Dobnik, 2011. "OLong-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 0237, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006. "The response of industry employment to exchange rate shocks: evidence from panel cointegration," Applied Economics, Taylor & Francis Journals, vol. 38(4), pages 415-421.
- Westerlund, Joakim & Basher, Syed A., 2008.
"Mixed signals among tests for panel cointegration,"
Elsevier, vol. 25(1), pages 128-136, January.
- Frauke Dobnik, 2013. "Long-run money demand in OECD countries: what role do common factors play?," Empirical Economics, Springer, vol. 45(1), pages 89-113, August.
- GARCIA-HIERNAUX, Alfredo & CERNO, Leonel, 2006. "Empirical Evidence For A Money Demand Function: A Panel Data Analysis Of 27 Countries In 1988-98," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.