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Money demand in Venezuela: A cointegration analysis (1968-1996)

Author

Listed:
  • Josefá Ramoni Perazzi

    (Universidad de Los Andes, Facultad de Ciencias Económicas y Sociales, Departamento de Economía)

  • Giampaolo Orlandoni Merli

    (Universidad de Los Andes, Facultad de Ciencias Económicas y Sociales, Instituto de Estadística Aplicada y Computación)

Abstract

La marcada inestabilidad y tendencia creciente de la demanda monetaria en Venezuela, hacen suponer que cualquier modelo que intente explicarla sin tomar en cuenta la posible no estacionariedad de las variables involucradas, arroje resultados sesgados. Este estudio intenta explicar el comportamiento de la demanda de dinero en Venezuela, en función del ingreso (como variable de escala), tipo de cambio y tasas de interés (que recogen el motivo especulación). Haciendo uso de los enfoques de cointegración de Engle-Granger y de Johansen, se concluye que la demanda real de dinero se comporta como un bien de lujo con una alta elasticidad ingreso, y se contrae ante atractivas tasas de interés y de tipo de cambio. El método de Johansen probó ser el más conveniente.

Suggested Citation

  • Josefá Ramoni Perazzi & Giampaolo Orlandoni Merli, 2000. "Money demand in Venezuela: A cointegration analysis (1968-1996)," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 25(16), pages 91-109, January-D.
    • Handle: RePEc:ula:econom:v:25:y:2000:i:16:p:91-109
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    References listed on IDEAS

    as
    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    2. Alberto Carrasquilla, 1990. "¿Es inestable la demanda por dinero en Colombia?," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 9(17), pages 20-37, June.
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    More about this item

    Keywords

    Demanda monetaria; dinero; ingreso; cointegración; modelo.;
    All these keywords.

    JEL classification:

    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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