LINKING MONEY SUPPLY WITH THE GROSS DOMESTIC PRODUCT IN ROMANIA

Daniela Zapodeanu and Mihail Ioan Cociuba

Annales Universitatis Apulensis Series Oeconomica, 2010, vol. 1, issue 12, 50

Abstract: Evolution of money supply and gross domestic product are in a close relationship, in this paper we analysis this relationship in order to construct a function which will explicit this connection for Romania. Evolution of gross domestic product is one with a seasonal component so from the data series we will be eliminating seasonality with the X-12 ARIMA method. Analyzing the data of money supply (M3) and of GDP over ten years through the Augmented Dickey-Fuller we obtained that both series are non-stationary. Applying the co-integration analysis method Engle- Granger we conclude that the two series have a cointegration relationship between them. We will propose a model explanation of the link between the two sets of data type, a DVAR model.

Keywords: money supply (M3); GDP; seasonality; stationarity; cointegration; DVAR. (search for similar items in EconPapers)
JEL-codes: C51 G17 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:alu:journl:v:1:y:2010:i:12:p:50

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