Cointegration, structural breaks and the demand for money in Bangladesh

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Cointegration, structural breaks and the demand for money in Bangladesh

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Rao, B. Bhaskara
Kumar, Saten

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Abstract

This paper allows for endogenous structural breaks in the cointegration equation and investigates if there is a stable demand for money for Bangladesh. We have used the Gregory and Hansen framework and found that there was an intercept shift and a well- determined and stable demand for money in Bangladesh exists.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1546.

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Date of creation: 16 Jan 2007
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Handle: RePEc:pra:mprapa:1546

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Other versions of this item:

Article
- B. Bhaskara Rao & Saten Kumar, 2009. "Cointegration, structural breaks and the demand for money in Bangladesh," Applied Economics, Taylor and Francis Journals, vol. 41(10), pages 1277-1283. [Downloadable!] (restricted)

Find related papers by JEL classification:
E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-01-28 (All new papers)
NEP-CWA-2007-01-28 (Central & Western Asia)
NEP-MAC-2007-01-28 (Macroeconomics)
NEP-MON-2007-01-28 (Monetary Economics)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Allan W. Gregory & Bruce E. Hansen, 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," Working Papers 862, Queen's University, Department of Economics.
Other versions:
- Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
- Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January. [Downloadable!] (restricted)
Taylor, Mark P, 1994. "On the Reinterpretation of Money Demand Regressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(4), pages 851-66, November. [Downloadable!] (restricted)
Smith, Ron P, 1999. "Unit Roots and All That: The Impact of Time-Series Methods on Macroeconomics," Journal of Economic Methodology, Taylor and Francis Journals, vol. 6(2), pages 239-58, July.
Akhtar Hossain, 1993. "Financial Reforms, Stability of the Money Demand Function and Monetary Policy in Bangladesh: An Econometric Investigation," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 28(1), pages 85-100, January.
Mohsen Bahmani-Oskooee & Hafez Rehman, 2005. "Stability of the money demand function in Asian developing countries," Applied Economics, Taylor and Francis Journals, vol. 37(7), pages 773-792, April. [Downloadable!] (restricted)
James MacKinnon, 1990. "Critical Values for Cointegration Tests," University of California at San Diego, Economics Working Paper Series 90-4, Department of Economics, UC San Diego. [Downloadable!]
Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation, Yale University. [Downloadable!]
Other versions:
- Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
- Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
Paul Turner, 2006. "Response surfaces for an F -test for cointegration," Applied Economics Letters, Taylor and Francis Journals, vol. 13(8), pages 479-482, June. [Downloadable!] (restricted)

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