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Inflation uncertainty, money demand, and monetary deregulation: Evidence from a univariate ARCH model and cointegration tests

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  • Apergis, Nicholas

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  • Apergis, Nicholas, 1997. "Inflation uncertainty, money demand, and monetary deregulation: Evidence from a univariate ARCH model and cointegration tests," Journal of Policy Modeling, Elsevier, vol. 19(3), pages 279-293, June.
    • Handle: RePEc:eee:jpolmo:v:19:y:1997:i:3:p:279-293
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    1. Klein, Benjamin, 1977. "The Demand for Quality-adjusted Cash Balances: Price Uncertainty in the U.S. Demand for Money Function," Journal of Political Economy, University of Chicago Press, vol. 85(4), pages 691-715, August.
    2. Boonekamp, C F J, 1978. "Inflation, Hedging, and the Demand for Money," American Economic Review, American Economic Association, vol. 68(5), pages 821-833, December.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    4. Stephen M. Goldfeld, 1973. "The Demand for Money Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 4(3), pages 577-646.
    5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    6. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Blejer, Mario I, 1979. "The Demand for Money and the Variability of the Rate of Inflation: Some Empirical Results," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(2), pages 545-549, June.
    9. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    10. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    11. Hetzel, Robert L & Mehra, Yash P, 1989. "The Behavior of Money Demand in the 1980s," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(4), pages 455-463, November.
    12. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-470, October.
    13. Smirlock, Michael, 1982. "Inflation Uncertainty and the Demand for Money," Economic Inquiry, Western Economic Association International, vol. 20(3), pages 355-364, July.
    14. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    15. Alogoskoufis, George S, 1992. "Monetary Accommodation, Exchange Rate Regimes and Inflation Persistence," Economic Journal, Royal Economic Society, vol. 102(412), pages 461-480, May.
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    1. Kumar, Saten & Webber, Don J. & Fargher, Scott, 2013. "Money demand stability: A case study of Nigeria," Journal of Policy Modeling, Elsevier, vol. 35(6), pages 978-991.
    2. Nicholas Apergis, 1998. "Inflation and Uncertainty: Does the EMS Participation Play Any Role?," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 13, pages 586-605.
    3. Dr. Misbah Nosheen & Alina Faisal & Dr. Tahira Mumtaz, 2024. "Revisiting Output and Monetary Uncertainty and Money Demand in Asia," International Journal of Politics & Social Sciences Review (IJPSSR), International Journal of Politics & Social Sciences Review (IJPSSR), vol. 3(III), pages 348-359.
    4. Muhammad Kumail & Mubbasher Munir & Noman Arshed, 2025. "Estimation of climate change augmented precautionary motive demand for money under extreme values," SN Business & Economics, Springer, vol. 5(10), pages 1-30, October.
    5. Nicholas Apergis & Sophia Eleftheriou, 2000. "Measuring Price Elasticity of Aggregate Demand in Greece: 1961-1995," Public Finance Review, , vol. 28(5), pages 452-467, September.
    6. Biscarri, Javier Gómez & Moreno, Antonio & Gracia, Fernando Pérez de, 2010. "Money demand accommodation: Impact on macro-dynamics and policy consequences," Journal of Policy Modeling, Elsevier, vol. 32(1), pages 138-154, January.

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