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Money, Inflation and output in Romania, 1992-2000

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Author Info
Nina Budina
Wojtek Maliszewski
Georges de Menil
Geomina Turlea
Abstract

Money, inflation and output are tested for stationarity, and found to be integrated of order one. We apply the Johansen procedure for cointegration to test for the rank of the matrix of cointegrating relations (one), to test for the weak exogeneity of output (accepted), inflation (rejected) and money (rejected). We interpret the unique cointegrating relationship as an extended Cagan money demand equation, and estimate error correction mechanisms, in which excess supply of real money contributes significantly to the short-run dynamics of inflation and real money. The evidence suggests than in the period considered, including the sub-sample between the liberalisation shocks, inflation was largely a monetary phenomenon.

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Paper provided by DELTA (Ecole normale supérieure) in its series DELTA Working Papers with number 2002-15.

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Date of creation: 2002
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Handle: RePEc:del:abcdef:2002-15

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  20. Daianu, Daniel & Albu, Lucian-Liviu, 1996. "Strain and the inflation - unemployment relationship: a conceptual and empirical investigation," MPRA Paper 14017, University Library of Munich, Germany. [Downloadable!]
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  21. Katarina Juselius, 1998. "Changing monetary transmission mechanisms within the EU," Empirical Economics, Springer, vol. 23(3), pages 455-481. [Downloadable!] (restricted)
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  1. Wojciech Maliszewski, 2003. "Modeling Inflation in Georgia," IMF Working Papers 03/212, International Monetary Fund. [Downloadable!]
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