Money, inflation and output in Romania, 1992-2000

Nina Budina, Wojciech Maliszewski, George de Menil and Geomina Turlea
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Wojciech Maliszewski: LSE - London School of Economics and Political Science
Geomina Turlea: Romanian Centre for Economic Policy - Romanian Centre for Economic Policy, Institute for World Economy - Institute for World Economy

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Abstract: Money, inflation and output are tested for stationarity, and found to be integrated of order one. We apply the Johansen procedure for cointegration to test for the rank of the matrix of cointegration relations (one), to test for the weak exogeneity of output (accepted), inflation (rejected) and money (rejected). We interpret the unique cointegrating relationship as an extended Cagan money demand function. We then estimate error correction mechanisms, which explain the short-run movements of real money and inflation. The evidence suggests that in the period considered, including the sub-sample between the liberalization shocks, inflation was largely a monetary phenomenon.

Keywords: Demand for money; Cointegration; Inflation; Transition (search for similar items in EconPapers)
Date: 2006-03
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Citations: View citations in EconPapers (10)

Published in Journal of International Money and Finance, 2006, 25 (2), pp.1-18. ⟨10.1016/j.jimonfin.2005.11.006⟩

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Journal Article: Money, inflation and output in Romania, 1992-2000 (2006)
Working Paper: Money, Inflation and output in Romania, 1992-2000 (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00754167

DOI: 10.1016/j.jimonfin.2005.11.006

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