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Inflation Uncertainly And Money Demand: Evidence From A Monetary Regime Change And The Case Of Greece

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NICHOLAS APERGIS

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Abstract

This paper has extended a money demand equation to include uncertainty of inflation as a specific argument. The empirical analysis shows that in Greece inflation uncertainly is described well by an ARCH process. A money demand equation that explicitly takes into consideration the inflation uncertainly process seems to be capable of capturing any money demand structural instabilities. These instabilities, in turn, are shown to have been caused by the monetary deregulation process occured in 1988. [E41, E42]

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Publisher Info
Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 13 (1999)
Issue (Month): 2 (June)
Pages: 21-30
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Handle: RePEc:taf:intecj:v:13:y:1999:i:2:p:21-30

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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. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  2. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation, Yale University. [Downloadable!]
  3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
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  4. 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. [Downloadable!] (restricted)
  5. Goldberg, Michael D. & Frydman, Roman, 1996. "Empirical exchange rate models and shifts in the co-integrating vector," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 55-78, March. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
  7. Batchelor, Roy & Dua, Pami, 1996. "Empirical Measures of Inflation Uncertainty: A Cautionary Note," Applied Economics, Taylor and Francis Journals, vol. 28(3), pages 333-41, March. [Downloadable!] (restricted)
  8. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
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  9. Smirlock, Michael, 1982. "Inflation Uncertainty and the Demand for Money," Economic Inquiry, Oxford University Press, vol. 20(3), pages 355-64, July.
  10. Holland, A Steven, 1993. "Uncertain Effects of Money and the Link between the Inflation Rate and Inflation Uncertainty," Economic Inquiry, Oxford University Press, vol. 31(1), pages 39-51, January.
  11. Stephen M. Goldfeld, 1973. "The Demand for Money Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 4(1973-3), pages 577-646. [Downloadable!]
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  1. Christos Karpetis, 2008. "Money, Income and Inflation in Equilibrium – The Case of Greece," International Advances in Economic Research, Springer, vol. 14(2), pages 205-214, May. [Downloadable!] (restricted)
  2. Mohsen Bahmani-oskooee & Charikleia Economidou, 2005. "How stable is the demand for money in Greece?," International Economic Journal, Korean International Economic Association, vol. 19(3), pages 461-472, September. [Downloadable!] (restricted)
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