Demand for Money in the Asian Countries: A Systems GMM Panel Data Approach and Structural Breaks
AbstractA systems GMM method is used to estimate the demand for money (M1) for a panel of 11 Asian countries from 1970 to 2007. This method has advantages of which the most important one is its ability to minimise small sample bias with persistence in the variables. This system GMM method of Blundell and Bond (1998) simultaneously estimates specifications with the levels and first differences specifications of the variables. We test for structural stability of the estimated function with a recently developed test, for this approach, by Mancini-Griffoli and Pauwels (2006). Our results show that there is a well defined demand for money for these countries and there are no structural breaks.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15030.
Date of creation: 05 May 2009
Date of revision:
Systems GMM; Blundell and Bond; Mancini-Griffoli and Pauwels; Asian Countries and Demand for Money and Structural Sta;
Find related papers by JEL classification:
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-09 (All new papers)
- NEP-MAC-2009-05-09 (Macroeconomics)
- NEP-MON-2009-05-09 (Monetary Economics)
- NEP-SEA-2009-05-09 (South East Asia)
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