Long-run Money Demand in Latin American Countries: A Nonstationary Panel Data Approach
Cesar Carrera ()
Monetaria, 2016, vol. IV, issue 1, 121-152
Central banks have long been interested in obtaining precise estimations of money demand given the fact that its evolution plays a key role over several monetary variables and the stability of the financial system. I use Pedroni’s (2002) fully modified ordinary least squares (FMOLS) to estimate the coefficients of the long-run money demand for 15 Latin American countries. The FMOLS technique pools information regarding common long-run relations while allowing the associated short-run dynamics and fixed effects to be heterogeneous across different economies of the panel. For this group of countries, I find evidence of a cointegrating money demand, an income elasticity of 0.94, and an interest rate semielasticity of -0.01.
Keywords: money demand; panel cointegration; fmols; Latin America (search for similar items in EconPapers)
JEL-codes: C22 C23 E41 (search for similar items in EconPapers)
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Working Paper: Long-Run Money Demand in Latin-American countries: A Nonestationary Panel Data Approach (2012)
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