Demand for money in the selected OECD countries: a time series panel data approach and structural breaks

Saten Kumar · Mamta Banu Chowdhury · B. Bhaskara Rao

32 citations0/0 files storedApplied Economics

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Monetary Policy and Economic Impact Banking stability, regulation, efficiency Economic theories and models

Abstract

Time series panel data estimation methods are used to estimate the cointegrating equations for the demand for money (M1) for a panel of 11 Organization for Economic Cooperation and Development (OECD) countries for which consistent quarterly data are available. The effects of financial reforms are analysed with structural break tests and estimates for alternative sub-samples. Our results for the post-reform sub-samples show that the income elasticity of the demand for money has decreased and response to interest rate changes has increased.

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References

2003Testing for unit roots in heterogeneous panels 2002Unit root tests in panel data: asymptotic and finite-sample properties 1999Spurious regression and residual-based tests for cointegration in panel data 2000Testing for stationarity in heterogeneous panel data 2004Fully modified OLS for heterogeneous cointegrated panels 2004The local power of some unit root tests for panel data 1952The Transactions Demand for Cash: An Inventory Theoretic Approach 1956The Interest-Elasticity of Transactions Demand For Cash

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