Structural break, stability and demand for money in India

Prakash Singh · Manoj K. Pandey

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Monetary Policy and Economic Impact Economic Theory and Policy Economic theories and models

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.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1997Further evidence on breaking trend functions in macroeconomic variables 1997Multiple Trend Breaks and the Unit-Root Hypothesis 2001Break Point Estimation and Spurious Rejections With Endogenous Unit Root Tests

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