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Inflation Uncertainty and Momey Demand: Evidence from a Monetary Regime Changed and the Cases of Greece

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  • Apergis Nicholas

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 uncertainty is described well by an ARCH process. A money demand equation that explicitly takes into consideration the inflation uncertainty 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 occurred in 1988. [E41, E42]

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal International Economic Journal.

Volume (Year): 13 (1999)
Issue (Month): 2 ()
Pages: 21-30

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Handle: RePEc:taf:intecj:v:13:y:1999:i:2:p:21-30

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References

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  1. Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
  2. 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.
  3. 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.
  4. Stephen M. Goldfeld, 1973. "The Demand for Money Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 4(3), pages 577-646.
  5. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  7. Holland, A Steven, 1993. "Uncertain Effects of Money and the Link between the Inflation Rate and Inflation Uncertainty," Economic Inquiry, Western Economic Association International, vol. 31(1), pages 39-51, January.
  8. Smirlock, Michael, 1982. "Inflation Uncertainty and the Demand for Money," Economic Inquiry, Western Economic Association International, vol. 20(3), pages 355-64, July.
  9. 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.
  10. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation for Research in Economics, Yale University.
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Cited by:
  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.
  2. Mohsen Bahmani-oskooee & Charikleia Economidou, 2005. "How stable is the demand for money in Greece?," International Economic Journal, Taylor & Francis Journals, vol. 19(3), pages 461-472.

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