The demand for international liquidity: a cointegration approach

Costas Karfakis

Applied Financial Economics, 1997, vol. 7, issue 6, 673-678

Abstract: This paper first examines the existence of a long-run demand for foreign reserve holdings in Greece and second, tests for its temporal instability using time series techniques. Cointegration tests reveal the existence of a systematic long-run relationship between real reserves, real income, average propensity to import and the eurodollar interest rate. An interesting aspect of the cointegration analysis is the evidence that the demand for international liquidity is not characterized by economies of scale. The Hansen—Johansen (1993) recursive analysis results indicated that the cointegrating equation was stable over the nominal exchange rate targeting period 1988-92, implying that the reserve holdings play a significant role in the balance of payments adjustment process.

Date: 1997
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/758533859 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:7:y:1997:i:6:p:673-678

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/758533859

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().