INFLATION UNCERTAINTY, MONEY DEMAND, AND MONETARY DEREGULATION - EVIDENCE FROM A UNIVARIATE ARCH MODEL AND COINTEGRATION TESTS

Authors
APERGIS N
Citation
N. Apergis, INFLATION UNCERTAINTY, MONEY DEMAND, AND MONETARY DEREGULATION - EVIDENCE FROM A UNIVARIATE ARCH MODEL AND COINTEGRATION TESTS, Journal of policy modeling, 19(3), 1997, pp. 279-293
Citations number
21
Categorie Soggetti
Economics
Journal title
Journal of policy modeling → ACNP
ISSN journal
01618938
Volume
19
Issue
3
Year of publication
1997
Pages
279 - 293
Database
ISI
SICI code
0161-8938(1997)19:3<279:IUMDAM>2.0.ZU;2-N
Abstract
This study has extended a money demand equation to include uncertainty of inflation. It is proved via cointegration techniques that inflatio n uncertainty in Greece is described well by an Autoregressive Conditi onal Heteroskedasticity (ARCH) process over the period 1975-93, follow ing the deregulation of the monetary system in 1988 and in terms of ca pturing money demand structural instabilities. (C) Society for Policy Modeling, 1997.