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Dynamic panel cointegration approaches to the estimation of money demand functions

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  • Sangjoon Jun

Abstract

This paper investigates properties of the money demand functions of Group of Six (G6) member countries (Canada, France, Italy, Japan, U.K., and U.S.) using the estimation and inference techniques of panel cointegration. Empirical analyses are conducted by estimating money demand equations of G6 countries individually and as a whole, allowing heterogeneity in individual specific fixed effects across countries through dynamic, nonstationary panel estimation techniques. By using recently developed panel cointegration techniques, the paper contributes to the literature of money demand studies by improving the power performance of the relevant estimation and inference procedures. It reports fully modified OLS (FMOLS) estimation results of the money demand model for different data frequencies, to find varying signs and magnitudes of real income, interest rates and inflation elasticities of money demand for G6 nations.

Suggested Citation

  • Sangjoon Jun, 2004. "Dynamic panel cointegration approaches to the estimation of money demand functions," Global Economic Review, Taylor & Francis Journals, vol. 33(3), pages 23-42.
    • Handle: RePEc:taf:glecrv:v:33:y:2004:i:3:p:23-42
    DOI: 10.1080/12265080408449853
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    Cited by:

    1. Lee, Chien-Chiang & Chang, Chun-Ping & Chen, Pei-Fen, 2008. "Money demand function versus monetary integration: Revisiting panel cointegration among GCC countries," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 85-93.
    2. Acaravci, Ali & Ozturk, Ilhan, 2010. "Electricity consumption-growth nexus: Evidence from panel data for transition countries," Energy Economics, Elsevier, vol. 32(3), pages 604-608, May.

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