Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece
This paper examines the behaviour of the demand for money in Greece during 1976:1-2000:4, a period that included many of the influences that cause money-demand instability. Two empirical methodologies, vector error correction (VEC) modelling and second-generation random coefficient (RC) modelling, are used to estimate the demand for money. The coefficients of both the VEC and RC procedures support the hypothesis that the demand for money becomes more responsive to both the own rate of return on money balances and the opportunity cost of holding money because of financial deregulation. In general, both procedures also support the hypothesis that the income elasticity of money demand declines over time as a result of technological improvements in the payments system and the development of money substitutes, which lead to economies of scale in holding money.
|Date of creation:||Feb 2003|
|Date of revision:|
|Publication status:||Published in Oxford Bulletin of Economics and Statistics, 2003, 65 (5), pp. 605-628|
|Contact details of provider:|| Web page: http://www.bankofgreece.gr|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Psaradakis, Zacharias, 1993. "The Demand for Money in Greece: An Exercise in Econometric Modelling with Cointegrated Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(2), pages 215-36, May.
- Swamy, P A V B & Tavlas, George S, 1995.
" Random Coefficient Models: Theory and Applications,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 9(2), pages 165-96, June.
- P. A. V. B. Swamy & George S. Tavlas, 1993. "Random coefficient models: theory and applications," Finance and Economics Discussion Series 93-14, Board of Governors of the Federal Reserve System (U.S.).
- Courakis, A S, 1978. "Serial Correlation and a Bank of England Study of the Demand for Money: An Exercise in Measurement without Theory," Economic Journal, Royal Economic Society, vol. 88(351), pages 537-48, September.
- Goldfeld, Stephen M. & Sichel, Daniel E., 1990. "The demand for money," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 8, pages 299-356 Elsevier.
- I-Lok Chang & P.A.V.B. Swamy & Charles Hallahan & George S. Tavlas, 2000. "A Computational Approach to Finding Causal Economic Laws," Computational Economics, Society for Computational Economics, vol. 16(1/2), pages 105-136, October.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- Papadopoulos, Athanasios P & Zis, George, 1997.
"The Demand for Money in Greece: Further Empirical Results and Policy Implications,"
The Manchester School of Economic & Social Studies,
University of Manchester, vol. 65(1), pages 71-89, January.
- Athanasios Papadopoulos & George Zis, . "The Demand For Money In Greece: Further Empirical Results And Policy Implications," Working Papers 9405, University of Crete, Department of Economics.
- Michael C. Keeley & Gary C. Zimmerman, 1986. "Deposit rate deregulation and the demand for transactions media," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 47-62.
- Michael D. Bordo & Lars Jonung, 1989.
"The Long-Run Behavior of Velocity: The Institutional Approach Revisited,"
NBER Working Papers
3204, National Bureau of Economic Research, Inc.
- Bordo, Michael D. & Jonung, Lars, 1990. "The long-run behavior of velocity: The institutional approach revisited," Journal of Policy Modeling, Elsevier, vol. 12(2), pages 165-197.
- Christou, Costas & Swamy, P. A. V. B. & Tavlas, George S., 1998. "A general framework for predicting returns from multiple currency investments," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 977-1000, May.
- Hafer, R.W. & Jansen, D.W., 1990.
"The Demand For Money In The United States: Evidence From Cointegration Tests,"
9010, Erasmus University of Rotterdam - Institute for Economic Research.
- Hafer, R W & Jansen, Dennis W, 1991. "The Demand for Money in the United States: Evidence from Cointegration Tests," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 155-68, May.
- Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
- Friedman, Milton & Schwartz, Anna J, 1991. "Alternative Approaches to Analyzing Economic Data," American Economic Review, American Economic Association, vol. 81(1), pages 39-49, March.
When requesting a correction, please mention this item's handle: RePEc:bog:wpaper:01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christina Tsochatzi)
If references are entirely missing, you can add them using this form.