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Cointegration, structural breaks and the demand for money in Bangladesh

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Author Info
B. Bhaskara Rao
Saten Kumar

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Abstract

This article allows for endogenous structural breaks in the cointegration equation and investigates if there is a stable demand for money for Bangladesh. We have used the Gregory and Hansen framework and found that there was an intercept shift and a well-determined and stable demand for money in Bangladesh exists.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/00036840701367671&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 41 (2009)
Issue (Month): 10 ()
Pages: 1277-1283
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Handle: RePEc:taf:applec:v:41:y:2009:i:10:p:1277-1283

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Allan W. Gregory & Bruce E. Hansen, 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," Working Papers 862, Queen's University, Department of Economics.
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  2. Taylor, Mark P, 1994. "On the Reinterpretation of Money Demand Regressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(4), pages 851-66, November. [Downloadable!] (restricted)
  3. James MacKinnon, 1990. "Critical Values for Cointegration Tests," University of California at San Diego, Economics Working Paper Series 90-4, Department of Economics, UC San Diego. [Downloadable!]
  4. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation, Yale University. [Downloadable!]
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  5. Smith, Ron P, 1999. "Unit Roots and All That: The Impact of Time-Series Methods on Macroeconomics," Journal of Economic Methodology, Taylor and Francis Journals, vol. 6(2), pages 239-58, July.
  6. Akhtar Hossain, 1993. "Financial Reforms, Stability of the Money Demand Function and Monetary Policy in Bangladesh: An Econometric Investigation," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 28(1), pages 85-100, January.
  7. Paul Turner, 2006. "Response surfaces for an F -test for cointegration," Applied Economics Letters, Taylor and Francis Journals, vol. 13(8), pages 479-482, June. [Downloadable!] (restricted)
  8. Mohsen Bahmani-Oskooee & Hafez Rehman, 2005. "Stability of the money demand function in Asian developing countries," Applied Economics, Taylor and Francis Journals, vol. 37(7), pages 773-792, April. [Downloadable!] (restricted)
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