Long-Run Money Demand in Latin-American countries: A Nonestationary Panel Data Approach
Cesar Carrera ()
No 2012-016, Working Papers from Banco Central de Reserva del Perú
Central banks have long been interested in obtaining precise estimations of money demand given the fact that the evolution of money demand plays a key role over several monetary variables. I use Pedroni's (2002) Fully Modified Ordinary Least Square (FMOLS) to estimate the coefficients of the long-run money demand function for 15 Latin-American countries. The FMOLS technique pool information regarding common long-run relationships while allowing the associated short-run dynamics and fixed effects to be heterogeneous across different members 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 semi-elasticity of -0.01.
Keywords: Money demand; panel cointegration; FMOLS; Latin-American (search for similar items in EconPapers)
JEL-codes: C22 C23 E41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-lam and nep-mon
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Journal Article: Long-run Money Demand in Latin American Countries: A Nonstationary Panel Data Approach (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2012-016
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