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A Cointegration Analysis of Broad Money Demand in Cameroon

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  • Jean-Claude Nachega
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    Abstract

    This paper applies cointegration analysis and error-correction modeling to investigate the behavior of broad money demand in Cameroon over 1963/64-1993/94. The cointegrated VAR analysis first describes an open-economy model of money, prices, income, and a vector of rates of return, within which three steady state relations are identified: a stable money demand function, an excess aggregate demand relationship, and the uncovered interest rate relation under fixed exchange rates and perfect capital mobility. Empirical support is thereafter provided for both PPP and the international Fisher parity between Cameroon and France, and the stability of the short-run dynamics of the broad money demand function is confirmed.

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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 01/26.

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    Length: 39
    Date of creation: 01 Mar 2001
    Date of revision:
    Handle: RePEc:imf:imfwpa:01/26

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    Related research

    Keywords: Economic models; Data analysis; Exchange rates; inflation; money demand; monetary policy; demand for money; money balances; money market; monetary fund; rate of inflation; real money; inflation rate; monetary economics; aggregate demand; central bank; rates of inflation; money supply; quantity theory of money; quantity theory; price level; discount rate; monetary aggregates; foreign currency; monetary union; monetary regime; inflationary expectations; real money supply; monetary growth; monetary policy instruments; theory of money; real interest rates; real interest rate; monetary policy objectives; high inflation; rediscount rate; monetary transmission mechanisms; adaptive expectations ? hypothesis; monetary policy reaction function; general level of prices; inflationary impact; coefficient on inflation; adaptive expectations; price stability; open market operations; reserve requirements; monetary unions; monetary transmission; monetary standard; fisher relation;

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    Cited by:
    1. Pelipas, Igor, 2006. "Money demand and inflation in Belarus: Evidence from cointegrated VAR," Research in International Business and Finance, Elsevier, Elsevier, vol. 20(2), pages 200-214, June.
    2. Saten Kumar & Don J. Webber & Scott Fargher, 2010. "Money demand stability: A case study of Nigeria," Working Papers 1015, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    3. Jean-Claude Nachega, 2001. "Financial Liberalization, Money Demand, and Inflation in Uganda," IMF Working Papers 01/118, International Monetary Fund.
    4. Jacques Bouhga-Hagbe, 2004. "A Theory of Workers' Remittances with An Application to Morocco," IMF Working Papers 04/194, International Monetary Fund.
    5. Cem Saatçioðlu & Levent Korap, 2007. "Turkish Money Demand, Revisited: Some Implications For Inflation And Currency Substitution Under Structural Breaks," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, Bogazici University, Department of Economics, vol. 21(1+2), pages 107-124.
    6. Kumar, Saten, 2011. "Financial reforms and money demand: Evidence from 20 developing countries," Economic Systems, Elsevier, Elsevier, vol. 35(3), pages 323-334, September.
    7. Levent, Korap, 2008. "Modeling Turkish M2 broad money demand: a portfolio-based approach using implications for monetary policy," MPRA Paper 19703, University Library of Munich, Germany.
    8. Rodolphe Blavy, 2004. "Inflation and Monetary Pass-Through in Guinea," IMF Working Papers 04/223, International Monetary Fund.
    9. Ozge Akinci, 2003. "Modeling the Demand for Currency Issued in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(1), pages 1-25.
    10. Nicolas Ponty, 2005. "Un modèle MAcroDYNamique des économies des pays membres de l’UEMOA : MADYN," Documents de travail, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV 118, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV.
    11. Koffie Ben Nassar, 2005. "Money Demand and Inflation in Madagascar," IMF Working Papers 05/236, International Monetary Fund.
    12. Defne Mutluer & Yasemin Barlas, 2002. "Modeling the Turkish Broad Money Demand," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 55-75.
    13. Marek Dabrowski & Wojciech Paczynski & Lukasz Rawdanowicz, 2002. "Inflation and Monetary Policy in Russia: Transition Experience and Future Recommendations," CASE Network Studies and Analyses, CASE-Center for Social and Economic Research 0241, CASE-Center for Social and Economic Research.

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