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Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework

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dc.contributor.author Cuevas, Mario A.
dc.date.accessioned 2013-09-10T20:09:09Z
dc.date.available 2013-09-10T20:09:09Z
dc.date.issued 2002-05
dc.identifier.uri http://hdl.handle.net/10986/15761
dc.description.abstract Money demand in Venezuela is modeled using structural time series and error correction approaches, for the period 1993.1 to 2001.4. The preferred model features seasonal cointegration and was estimated following a structural time series approach. There are similarities in the long-run behavior of money demand associated with the structural time series and error correction approaches. Estimated short-run dynamics are more fragile, with the structural time series modeling approach providing richer insights into the adjustment dynamics of money demand. A cycle with a three-year period has been found to be common to money demand, real GDP, and opportunity cost variables. This cycle is robust to changes in model specification, including choice of opportunity cost variables. Higher frequency cycles are also found to exist, but are more sensitive to model specification. Results are also presented for a combined approach that takes advantage of error correction models, as well as insights into short-run dynamics afforded by the structural time series modeling approach. en
dc.language.iso en_US
dc.publisher World Bank, Washington, DC
dc.rights CC BY 3.0 IGO
dc.rights.uri http://creativecommons.org/licenses/by/3.0/igo
dc.subject exogenous variables
dc.subject currency depreciation
dc.subject economic relations
dc.subject elasticity
dc.subject macroeconomic variables
dc.subject ARMA
dc.subject equations
dc.subject CPI
dc.subject Empirical approaches
dc.subject measurement errors
dc.subject inflation rate
dc.subject endogenous variables
dc.subject errors in variables
dc.subject matrices
dc.subject inflation
dc.subject Skewness
dc.subject goodness of fit
dc.subject interest rates
dc.subject economic theory
dc.subject POLICY RESEARCH
dc.subject CD
dc.subject real GDP
dc.subject random walk
dc.subject cointegration
dc.subject opportunity cost
dc.subject empirical results
dc.subject heteroskedasticity
dc.subject data set
dc.subject autocorrelation
dc.subject random walks
dc.subject exogenous variable
dc.subject demand for money
dc.subject hypotheses
dc.subject Kurtosis
dc.subject stationary processes
dc.subject long-run equilibrium
dc.subject M2
dc.subject empirical studies
dc.subject functional forms
dc.subject currency
dc.subject annual rate
dc.subject sample size
dc.subject aggregate demand
dc.subject monetary aggregates
dc.subject log inflation
dc.subject nominal rate
dc.subject time series
dc.subject equilibrium
dc.subject money balances
dc.subject short-run dynamics
dc.subject Parameter estimation
dc.subject matrix
dc.subject Money demand
dc.subject GNP
dc.subject economic activity
dc.subject Standard Deviation
dc.subject endogenous variable
dc.subject elasticities
dc.title Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework en
dc.rights.holder World Bank


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