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Agregados monetarios Divisia y demanda de dinero en Uruguay

Author

Listed:
  • José Ignacio González Giangrossi

    (Banco Central del Uruguay
    Universidad de la República. Facultad de Ciencias Sociales. Departamento De Economía)

Abstract

In this paper Divisia monetary aggregates were built for Uruguay in the period 1998.Q4- 2015Q2 and compared with traditional monetary aggregates. The difference increases in broader aggregates, being very small for M1 but significant for the case of M2 + bonds. Then these measures were incorporated into a money demand function and using error correction models short-run dynamics was examined, finding a quick adjustment towards long run equilibrium and with Divisia models a higher semi-elasticity for the opportunity cost of money. Over the six candidates, Divisia M2 model perform better and is the appropriate measure to track money demand and complement monetary policy analysis.

Suggested Citation

  • José Ignacio González Giangrossi, 2016. "Agregados monetarios Divisia y demanda de dinero en Uruguay," Documentos de trabajo 2016003, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2016003
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/3.2016.pdf
    File Function: First version, 2016
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    Citations

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    Cited by:

    1. Ana Inés Arbiza, 2018. "¿Es estable la demanda de dinero? Análisis del caso Uruguayo," Documentos de trabajo 2018009, Banco Central del Uruguay.

    More about this item

    Keywords

    Monetary aggregates; Divisia index; money demand; cointegration; Uruguay;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • N16 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Latin America; Caribbean

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