Exchange rate sensitivity of the demand for money in Spain

作者:

Bahmani-Oskooee, Mohsen1
Martin, Miquel-Angel Galindo2
Niroomand, Farhang3

資料來源:

Applied Economics. May98, Vol. 30 Issue 5, p607-612. 6p. 4 Charts.

文件類型:

Article

主題術語:

*FOREIGN exchange rates
*DEMAND for money
*COINTEGRATION
*ECONOMETRICS
*TIME series analysis

地理詞彙:

SPAIN

摘要:

The article focuses on the exchange rate and demand for money in Spain, while assessing a macroeconomic model. Following most recent developments in the money demand literature, the authors try to incorporate the nominal effective exchange rate of the Spanish peseta in the money demand function to determine whether it becomes stable. The cointegration method is used to test the existence of a long-run equilibrium relationship between Spanish money balances and its determinants. Spanish money balances and its determinants. Exclusion tests also developed by economists S. Johansen and K. Juselius are used to determine the significance of each determinant. The first step in applying cointegration analysis is to determine the degree of integration of each variable in the model. For this purpose, following many other studies in the literature, the authors rely upon the ADF test. Using quarterly data over the 1974I-1992IV period and the Johansen-Juselius cointegration procedure, the authors were able to find evidence of cointegration among the variables of both the monetary aggregates money demand functions.

作者所屬機構:

1Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, WI 53201, USA.
2Department of Economics, University Complutense, Madrid, Spain.
3Department of Economics, University of Southern Mississippi, Hattiesburg, MS 39406, USA.

ISSN:

0003-6846

DOI:

10.1080/000368498325598

入藏號碼:

702286

出版商標誌:

期中報告:1031 國際金融專題期中報告 10392007