HIGH INFLATION RATES AND THE LONG-RUN MONEY DEMAND FUNCTION - EVIDENCE FROM COINTEGRATION TESTS

Authors
CHOUDHRY T
Citation
T. Choudhry, HIGH INFLATION RATES AND THE LONG-RUN MONEY DEMAND FUNCTION - EVIDENCE FROM COINTEGRATION TESTS, Journal of macroeconomics, 17(1), 1995, pp. 77-91
Citations number
36
Categorie Soggetti
Economics
Journal title
Journal of macroeconomics → ACNP
ISSN journal
01640704
Volume
17
Issue
1
Year of publication
1995
Pages
77 - 91
Database
ISI
SICI code
0164-0704(1995)17:1<77:HIRATL>2.0.ZU;2-N
Abstract
This paper attempts to determine whether there exists a stationary lon g-run money demand function in Argentina, Israel, and Mexico. Tests ba sed on the Johansen method of cointegration reveal strong support for a stationary money demand function in the long run in all three countr ies. This result only holds when the annualized rate of change of the exchange rate (currency depreciation) is included in the money demand function.