Demand for money in the selected OECD countries : a time series panel data approach and structural breaks

Saten Kumar; Mamta B. Chowdhury; B. Bhaskara Rao

doi:10.1080/00036846.2011.637897

Demand for money in the selected OECD countries : a time series panel data approach and structural breaks

Saten Kumar, Mamta B. Chowdhury, B. Bhaskara Rao

School of Business

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

Abstract

Time series panel data estimation methods are used to estimate the cointegrating equations for the demand for money (M1) for a panel of 11 Organization for Economic Cooperation and Development (OECD) countries for which consistent quarterly data are available. The effects of financial reforms are analysed with structural break tests and estimates for alternative sub-samples. Our results for the post-reform sub-samples show that the income elasticity of the demand for money has decreased and response to interest rate changes has increased.

Original language	English
Pages (from-to)	1767-1776
Number of pages	10
Journal	Applied Economics
Volume	45
Issue number	14
DOIs	https://doi.org/10.1080/00036846.2011.637897
Publication status	Published - 2013

Keywords

OECD countries
Pedroni method
demand for money
money
stock exchanges
time series analysis

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10.1080/00036846.2011.637897

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abstract = "Time series panel data estimation methods are used to estimate the cointegrating equations for the demand for money (M1) for a panel of 11 Organization for Economic Cooperation and Development (OECD) countries for which consistent quarterly data are available. The effects of financial reforms are analysed with structural break tests and estimates for alternative sub-samples. Our results for the post-reform sub-samples show that the income elasticity of the demand for money has decreased and response to interest rate changes has increased.",

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AB - Time series panel data estimation methods are used to estimate the cointegrating equations for the demand for money (M1) for a panel of 11 Organization for Economic Cooperation and Development (OECD) countries for which consistent quarterly data are available. The effects of financial reforms are analysed with structural break tests and estimates for alternative sub-samples. Our results for the post-reform sub-samples show that the income elasticity of the demand for money has decreased and response to interest rate changes has increased.

KW - OECD countries

KW - Pedroni method

KW - demand for money

KW - money

KW - stock exchanges

KW - time series analysis

UR - http://handle.uws.edu.au:8081/1959.7/523940

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DO - 10.1080/00036846.2011.637897

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EP - 1776

JO - Applied Economics

JF - Applied Economics

IS - 14

ER -

Demand for money in the selected OECD countries : a time series panel data approach and structural breaks

Abstract

Keywords

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