The impact of banking crises on money demand and price stability
The author empirically investigates the monetary impact of banking crises in Colombia, Chile, Denmark, Japan, Kenya, Malaysia, and Uruguay. She uses co-integration analysis and error correction modeling to research: 1) Whether money demand stability is threatened by banking crises. 2) Whether crises bring about structural breaks in the relationship between monetary indicators and prices. Overall, she finds no systematic evidence that banking crises cause money demand instability. Nor do the results consistently support the notion that the relationship between monetary indicators and prices undergoes structural breaks during crises. However, although individual coefficients in price equations do not seem to be severely affected by crises, crises can sometimes give rise to variance instability in price or inflation equations.
|Date of creation:||31 Mar 2000|
|Contact details of provider:|| Postal: 1818 H Street, N.W., Washington, DC 20433|
Phone: (202) 477-1234
Web page: http://www.worldbank.org/
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.:
- Martin Mühleisen, 1995. "Monetary Policy and Inflation Indicators for Finland," IMF Working Papers 95/115, International Monetary Fund.
- Miller, Stephen M, 1991. "Monetary Dynamics: An Application of Cointegration and Error-Correction Modeling," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 139-154, May.
- Ericsson, Neil R., 1992.
"Cointegration, exogeneity, and policy analysis: An overview,"
Journal of Policy Modeling,
Elsevier, vol. 14(3), pages 251-280, June.
- Neil R. Ericsson, 1991. "Cointegration, exogeneity, and policy analysis: an overview," International Finance Discussion Papers 415, Board of Governors of the Federal Reserve System (U.S.).
- Carmen M. Reinhart & Vincent R. Reinhart, 1991. "Output Fluctuations and Monetary Shocks: Evidence from Colombia," IMF Staff Papers, Palgrave Macmillan, vol. 38(4), pages 705-735, December.
- Vincent Reinhart & Carmen Reinhart, 1991. "Output Fluctuations and Monetary Shocks; Evidence From Colombia," IMF Working Papers 91/35, International Monetary Fund.
- Reinhart, Carmen & Reinhart, Vincent, 1991. "Output Fluctuations and Monetary Shocks: Evidence from Colombia," MPRA Paper 6980, University Library of Munich, Germany.
- Reinhart, Carmen & Reinhart, Vincent, 1991. "Output Fluctuations and Monetary Shocks," MPRA Paper 13839, University Library of Munich, Germany.
- 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.
- Karatzas, George, 1993. "Government Deficits, Monetization, International Reserve Flows, and Inflation in Selected African Countries," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 46(2-3), pages 201-224.
- David Fielding, 1994. "Money Demand in Four African Countries," Journal of Economic Studies, Emerald Group Publishing, vol. 21(2), pages 3-37, May.
- de Brouwer, Gordon & Ericsson, Neil R, 1998. "Modeling Inflation in Australia," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 433-449, October.
- Gordon de Brouwer & Neil R. Ericsson, 1995. "Modelling Inflation in Australia," RBA Research Discussion Papers rdp9510, Reserve Bank of Australia.
- Gordon De Brouwer & Neil R. Ericsson, 1995. "Modelling inflation in Australia," International Finance Discussion Papers 530, Board of Governors of the Federal Reserve System (U.S.).
- Brunello Giorgio & Ariga Kenn & Nishiyama Yoshihiko & Ohkusa Yasushi, 1995. "Recent Changes in the Internal Structure of Wages and Employment in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 9(2), pages 105-129, June.
- McNown, Robert & S. Wallace, Myles, 1989. "National price levels, purchasing power parity, and cointegration: a test of four high inflation economies," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 533-545, December.
- E. P. Davis & S. G. B. Henry, 1994. "The Use of Financial Spreads As Indicator Variables; Evidence for the U.K. and Germany," IMF Working Papers 94/31, International Monetary Fund.
- Hiroshi Yoshikawa & Yoshiyuki Takeuchi, 1989. "Real Wages and the Japanese Economy," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 7(1), pages 1-40, April.
- Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January.
- Fullerton, Thomas Jr., 1993. "Inflationary trends in Colombia," Journal of Policy Modeling, Elsevier, vol. 15(4), pages 463-468, August.
- Josef Baumgartner & Ramana Ramaswamy, 1996. "Inflation Targeting in the United Kingdom; Information Content of Financial and Monetary Variables," IMF Working Papers 96/44, International Monetary Fund.
- Ricardo Matte & Patricio Rojas, 1989. "Evolución Reciente del Mercado Monetario y una Estimación de la Demanda por Dinero en Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 26(78), pages 195-216.
- Brian R. Horrigan, 1986. "Monetary indicators, commodity prices, and inflation," Working Papers 86-7, Federal Reserve Bank of Philadelphia.
- Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
- Tom Doan, "undated". "STABTEST: RATS procedure to perform Hansen's stability test for OLS," Statistical Software Components RTS00199, Boston College Department of Economics.
- Robert Corker, 1990. "Wealth, Financial Liberalization, and the Demand for Money in Japan," IMF Staff Papers, Palgrave Macmillan, vol. 37(2), pages 418-432, June.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Friedman, Benjamin M & Kuttner, Kenneth N, 1992. "Money, Income, Prices, and Interest Rates," American Economic Review, American Economic Association, vol. 82(3), pages 472-492, June.
- Santiago Herrera A. & Juan Manuel Julio, 1993. "La demanda de dinero en el corto y en el largo plazo en Colombia," COYUNTURA ECONÓMICA, FEDESARROLLO, vol. 23(1), pages 91-107, April.
- Luis Oscar Herrera & Rodrigo Vergara, 1992. "Estabilidad de la Demanda de Dinero, Cointegración y Política Monetaria," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 29(86), pages 35-54.
- Kamas, Linda, 1995. "Monetary policy and inflation under the crawling peg: Some evidence from VARs for Colombia," Journal of Development Economics, Elsevier, vol. 46(1), pages 145-161, February.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Alicia García-Herrero, 1997. "Monetary Impact of a Banking Crisis and the Conduct of Monetary Policy," IMF Working Papers 97/124, International Monetary Fund.
- Darrat, Ali F., 1985. "The demand for money in a developing economy: The case of Kenya," World Development, Elsevier, vol. 13(10-11), pages 1163-1170. Full references (including those not matched with items on IDEAS)