The Stability of Money Demand in the Long Run: An Empirical Study from Italy

2020 ◽  
pp. 401-418
Author(s):  
Chaido Dritsaki
Keyword(s):  
Empirical Study ◽  
Money Demand ◽  
Long Run ◽  
The Stability

scholarly journals Persistent Liquidity Effects and Long-Run Money Demand

2014 ◽  
Vol 6 (2) ◽  
pp. 71-107 ◽  
Author(s):  
Fernando Alvarez ◽  
Francesco Lippi
Keyword(s):  
Interest Rates ◽  
Money Demand ◽  
Asset Markets ◽  
Propagation Mechanism ◽  
Monetary Model ◽  
Long Run ◽  
Short Run ◽  
The Stability ◽  
Two Parameters

We present a monetary model with segmented asset markets that implies a persistent fall in interest rates after a once-and-for-all increase in liquidity. The gradual propagation mechanism produced by our model is novel in the literature. We provide an analytical characterization of this mechanism, showing that the magnitude of the liquidity effect on impact, and its persistence, depend on the ratio of two parameters: the long-run interest rate elasticity of money demand and the intertemporal substitution elasticity. The model simultaneously explains the short-run “instability” of money demand estimates as well as the stability of long-run interest-elastic money demand. (JEL E13, E31, E41, E43, E52, E62)

scholarly journals The stability of money demand in the long-run: Italy 1861–2011

Cliometrica ◽  
2016 ◽  
Vol 11 (2) ◽  
pp. 217-244 ◽  
Author(s):  
Vittorio Daniele ◽  
Pasquale Foresti ◽  
Oreste Napolitano
Keyword(s):  
Money Demand ◽  
Long Run ◽  
The Stability

scholarly journals NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)

2004 ◽  
Vol 8 (1) ◽  
pp. 76-116 ◽  
Author(s):  
ALVARO ESCRIBANO
Keyword(s):  
Error Correction ◽  
Money Demand ◽  
Smoothing Splines ◽  
Single Equation ◽  
Parametric Models ◽  
Parameter Estimates ◽  
Nonlinear Error ◽  
Rational Polynomial ◽  
Long Run ◽  
The Stability

This paper explores single-equation nonlinear error correction (NEC) models with linear and nonlinear cointegrated variables. Within the class of semiparametric NEC models, we use smoothing splines. Within the class of parametric models, we discuss the interesting properties of cubic polynomial NEC models and we show how they can be used to identify unknown threshold points in asymmetric models and to check the stability properties of the long-run equilibrium. A new class of rational polynomial NEC models is also introduced. We found multiple long-run money demand equilibria. The stability observed in the money-demand parameter estimates during more than a century, 1878 to 2000, is remarkable.

scholarly journals The Stability of Long-Run Money Demand in Western Balkan Countries: An Empirical Panel Investigation

2016 ◽  
Vol 11 (2) ◽  
pp. 61-70
Author(s):  
Jordan Kjosevski ◽  
Mihail Petkovski ◽  
Elena Naumovska
Keyword(s):  
Exchange Rate ◽  
Money Demand ◽  
Debt Crisis ◽  
Ordinary Least Squares ◽  
Demand Model ◽  
Quarterly Data ◽  
Dummy Variable ◽  
Long Run ◽  
Balkan Countries ◽  
The Stability

Abstract The goal of this paper is to examine the stability of money demand (M1) in five Western Balkan countries using quarterly data from 2005Q1 to 2014Q4. The dynamic ordinary least squares – DOLS method was used to find the long-run relationships in a money demand model. The empirical results identify the long-run money demand relationship among real M1 nominal interest rate, exchange rate, inflation and a dummy variable for the effect of the European debt crisis. The estimated long-run coefficients are, respectively −0.086, 0.519, 0.002 and 0.030. Our findings imply that real money demand in Western Balkan countries was stable in the analyzed period.

scholarly journals LA (IN)ESTABILIDAD DE LA DEMANDA DE DINERO EN COLOMBIA, 2003-2020

2021 ◽  
Vol 81 (319) ◽  
pp. 141
Author(s):  
Esther Barros Campello ◽  
Carlos Pateiro Rodríguez ◽  
Venancio Salcines Cristal
Keyword(s):  
Money Demand ◽  
Unit Root ◽  
Ordinary Least Squares ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Type Test ◽  
The Stability

<p>En este trabajo realizamos un análisis empírico de la evolución del agregado monetario M3 y de sus componentes en Colombia, con el propósito de evaluar las propiedades de estabilidad de cada uno de los activos que forman M3. El análisis se realiza con base en pruebas de raíces unitarias y cointegración. La estacionariedad de las series se estudia mediante las pruebas de ADF-GLS y M-type test, así como con pruebas que consideran la posibilidad de cambio estructural. El estudio prosigue empleando el modelo de vectores de corrección de errores (VECM) y mínimos cuadrados ordinarios totalmente modificados (FMOLS) para estimar la relación de largo plazo entre los componentes de M3 y las variables macroeconómicas determinantes. Los resultados obtenidos nos permiten afirmar que la estabilidad de la demanda de los diferentes componentes de M3 se mantiene, a pesar de distintos shocks que han afectado a la economía colombiana durante estos años.</p><p align="center"><strong> </strong></p><p align="center">THE (IN)STABILITY OF MONEY DEMAND IN COLOMBIA, 2003-2020</p><p align="center"><strong>ABSTRACT</strong></p><p>An empirical analysis is made of the evolution of M3 and its components in Colombia during the period 2003-2020. The purpose is to evaluate the stability of each of the assets that make up the aggregate M3. Unit-root and co-integration tests are used. The stationarity of the series is studied by ADF-GLS and M-type tests, as well as with tests that incorporate the possibility of structural change. In the following we implement two different methodologies to estimate the long-run relationship between M3 components and the macroeconomic determinant variables [Vector Error Correction Model (VECM) and Fully Modified Ordinary Least Squares (FMOLS)]. The results obtained allow us to affirm that the stability of the demand of the different components of M3 is maintained, in spite of different shocks that have affected the Colombian economy over these years.</p>

scholarly journals Structural Adjustment And The Stability Of The Nigerian Money Demand Function

2011 ◽  
Vol 3 (8) ◽  
Author(s):  
Olugbenga A. Onafowora ◽  
Oluwole Owoye
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Demand ◽  
Structural Adjustment ◽  
Demand Function ◽  
Money Demand Function ◽  
The Real ◽  
Long Run ◽  
The Stability ◽  
Domestic Interest Rate

This paper uses cointegration vector error correction analysis to test the stability of the demand for real broad money (M2) in Nigeria over the quarterly period 1986:1 to 2001:4 in order to ascertain whether recent macroeconomic developments such as the implementation of the structural adjustment programme (SAP) in 1986; the liberalization of the exchange rate, domestic interest rate, and capital accounts; financial deepening and innovations; changes in monetary policy regimes; and increased integration of the economy with the rest of the world may have caused the real broad money demand function to become structurally unstable. Our empirical results indicate that there exists a long-run relationship between the real broad money aggregate, real income, inflation rate, domestic interest rate, foreign interest rate, and expected exchange rate. Furthermore, both the CUSUM and CUSUMSQ tests confirm the stability of the short- and long run parameters of the real money demand function. The stability of the parameters of the money demand equation provides the justification for the monetary authority to target the broad money supply in its bid to manage inflation and stimulate economic activity in Nigeria.

On the stability of the long-run money demand in Greece

2000 ◽  
Vol 7 (2) ◽  
pp. 83-86 ◽  
Author(s):  
Costas Karfakis ◽  
Moise Sidir Opoulos
Keyword(s):  
Money Demand ◽  
Long Run ◽  
The Stability

scholarly journals Investigating the Stability of Money Demand in Ghana

2016 ◽  
Vol 64 (6) ◽  
pp. 2075-2079
Author(s):  
Dennis Nchor ◽  
Václav Adamec
Keyword(s):  
Error Correction ◽  
Money Demand ◽  
Structural Breaks ◽  
Correction Term ◽  
Demand For Money ◽  
Long Run ◽  
Short Run ◽  
The Interest Rate ◽  
The Stability ◽  
Cusum Tests

The study examined the demand for broad money and its stability in Ghana. Johansen’s cointegration approach reveals that the variables were non stationary and cointegrated, therefore, an error correction model, ECM was used to determine the factors that influence real money aggregate in Ghana from 1990 to 2014. The study estimated the results using two set of variables for real demand for money: M1 and M2+. This was done given the assumption that the demand for money was equal to the supply of money. The results show that, GDP affects the level of demand for money in the long run while the interest rate affects it in the short run. The error correction term in each of the cases shows that, 18 % of deviations in the real demand for money is corrected annually. The CUSUM tests of parameter stability showed that, the money demand function was stable over the period and the Chow test indicated that there were no structural breaks.

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