Structural Breaks and the Demand for Money in Fiji
AbstractThis paper fills a gap in the empirical work on the demand for money for Fiji. We allowed for structural breaks in the cointegrating equation, within the Gregory and Hansen framework, and found that there is a cointegrating relationship between real narrow money, real income and the nominal rate of interest in all the three types of their models. However, only the model with an intercept shift for the 1987 political coup yields a meaningful cointegrating relationship. We tested for its temporal stability and found that the demand for money in Fiji is stable.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1549.
Date of creation: Jul 2006
Date of revision:
Structural break; Cointegration; Gregory and Hansen; Demand for money; Fiji;
Find related papers by JEL classification:
- 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-MAC-2007-01-28 (Macroeconomics)
- NEP-MON-2007-01-28 (Monetary Economics)
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