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Structural Break, Stability and Demand for Money in India

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Author Info
Prakash Singh ()
Manoj K. Pandey ()
Abstract

This paper attempts to take a meticulous look on stability of money demand in India Using annual data for period 1953-2007 and the Hansen (1992) and Gregory Hansen (1996) co-integration approaches with structural break. Results of the Gregory Hansen (1996) cointegration analysis show the presence of cointegration in demand for money, real GDP and nominal interest rate with structural break at 1965. Further, study also suggests for downward shift of about 0.33% around 1965 in the demand for money function and put forward that demand for money is stable except for the period of 1975-1998.

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Paper provided by Australian National University, Australia South Asia Research Centre in its series ASARC Working Papers with number 2009-07.

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Length: 15
Date of creation: 2009
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Handle: RePEc:pas:asarcc:2009-07

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Related research
Keywords: Money demand; Cointegration with structural break; Stability; Choice of monetary instrument;

Find related papers by JEL classification:
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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  1. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  2. Inoue, Takeshi & Hamori, Shigeyuki, 2008. "An empirical analysis of the money demand function in India," IDE Discussion Papers 166, Institute of Developing Economies, Japan External Trade Organization(JETRO). [Downloadable!]
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This page was last updated on 2009-11-30.

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