Structural Break, Stability and Demand for Money in India

Prakash Singh and Manoj K. Pandey ()

ASARC Working Papers from The Australian National University, Australia South Asia Research Centre

Abstract: This paper attempts to take a meticulous look on stability of money demand in India Using annual data for period 1953-2007 and the Hansen (1992) and Gregory Hansen (1996) co-integration approaches with structural break. Results of the Gregory Hansen (1996) cointegration analysis show the presence of cointegration in demand for money, real GDP and nominal interest rate with structural break at 1965. Further, study also suggests for downward shift of about 0.33% around 1965 in the demand for money function and put forward that demand for money is stable except for the period of 1975-1998.

Keywords: Money demand; Cointegration with structural break; Stability; Choice of monetary instrument (search for similar items in EconPapers)
JEL-codes: E41 E52 (search for similar items in EconPapers)
Pages: 15
Date: 2009
New Economics Papers: this item is included in nep-cwa, nep-mac and nep-mon
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Citations: View citations in EconPapers (9)

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Working Paper: Structural break, stability and demand for money in India (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pas:asarcc:2009-07

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