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Cointegration, structural breaks and the demand for money in Bangladesh

  • B. Bhaskara Rao
  • Saten Kumar

This article 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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File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840701367671
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Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 41 (2009)
Issue (Month): 10 ()
Pages: 1277-1283

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Handle: RePEc:taf:applec:v:41:y:2009:i:10:p:1277-1283
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  1. Paul Turner, 2006. "Response surfaces for an F-test for cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 479-482.
  2. 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.
  3. William Poole, 1970. "Optimal choice of monetary policy instruments in a simple stochastic macro model," Staff Studies 57, Board of Governors of the Federal Reserve System (U.S.).
  4. 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.
  5. 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.
  6. Mohsen Bahmani-Oskooee & Hafez Rehman, 2005. "Stability of the money demand function in Asian developing countries," Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 773-792.
  7. 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.
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