Money demand function: a heterogeneous panel application
Abstract
An 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 Info
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Bibliographic Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 11 (2004)
Issue (Month): 9 ()
Pages: 551-555
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Related research
Keywords: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
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- 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
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- 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).
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"Demand for Money in the Selected OECD Countries: A Time Series Panel Data Approach and Structural Breaks,"
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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 and Francis Journals, vol. 45(14), pages 1767-1776, May.
- Harb, Nasri, 2006.
"Trade Between Euro Zone and Arab Countries: a Panel Study,"
MPRA Paper
13675, University Library of Munich, Germany.
- Nasri Harb, 2007. "Trade between Euro zone and Arab countries: a panel study," Applied Economics, Taylor and Francis Journals, vol. 39(16), pages 2099-2107.
- 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.
- Westerlund, Joakim & Basher, Syed A., 2007.
"Mixed Signals Among Tests for Panel Cointegration,"
MPRA Paper
3261, University Library of Munich, Germany.
- Westerlund, Joakim & Basher, Syed A., 2008. "Mixed signals among tests for panel cointegration," Economic Modelling, Elsevier, vol. 25(1), pages 128-136, January.
- 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.
- 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.
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