Money, inflation and output in Romania, 1992-2000
Résumé
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.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Money, inflation and output in Romania, 1992-2000
|
Résumé |
en
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.
|
Auteur(s) |
Nina Budina
1
, Wojciech Maliszewski
2
, Georges de Menil
3, 4
, Geomina Turlea
5, 6
1
Banque Mondiale
( 143711 )
- 1818 H Street, NW Washington, DC 20433
- États-Unis
2
LSE -
London School of Economics and Political Science
( 328453 )
- Houghton Street, London WC2A 2AE
- Royaume-Uni
3
Stern School of Business
( 153991 )
- États-Unis
4
PJSE -
Paris-Jourdan Sciences Economiques
( 1312 )
- 48 boulevard Jourdan 75014 Paris
- France
5
Romanian Centre for Economic Policy
( 216214 )
- Roumanie
6
Institute for World Economy
( 216215 )
- Roumanie
|
Comité de lecture |
Oui
|
Vulgarisation |
Non
|
Langue du document |
Anglais
|
Nom de la revue |
|
Audience |
Non spécifiée
|
Date de publication |
2006-03
|
Volume |
25
|
Numéro |
2
|
Page/Identifiant |
1-18
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Mots-clés |
en
Demand for money, Cointegration, Inflation, Transition
|
DOI | 10.1016/j.jimonfin.2005.11.006 |
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