Modelling long-run money demand: a panel data analysis on nine developed economies

References

• Arnold, I. J. and Roelands, S. (2010) The demand for euros, Journal of Macroeconomics, 32, 674–84.
   Web of Science ®Google Scholar
• Arnold, I. J. and Roelands, S. (2011) Housing wealth and U.S. money demand: a panel estimation. Contemporary economic policy, Western Economic Association International, 29, 382–91, 07.
   Google Scholar
• Asano, H. (1999) Financial deregulation and stability of money demand: the Australian case, Australian Economic Papers, 38, 407–21.
   Google Scholar
• Baumol, W. J. (1952) The transactions demand for cash: an inventory theoretic approach, Quarterly Journal of Economics, 66, 545–56.
   Web of Science ®Google Scholar
• Boone, L. and van der Noord, P. (2008) Wealth effects on money demand in the euro area, Empirical Economics, 34, 525–36.
   Web of Science ®Google Scholar
• Borio, C. and Lowe, P. (2002) Asset prices, financial and monetary stability: exploring the nexus, BIS Working Papers. No. 114, BIS, Basel.
   Google Scholar
• Breitung, J. (2005) A parametric approach to the estimation of cointegration vectors in panel data, Econometric Reviews, 24, 151–73.
   Web of Science ®Google Scholar
• Brunner, K. and Metzler, A. H. (1963) Predicting velocity: implications for theory and policy, Journal of Finance, 18, 319–54.
   Web of Science ®Google Scholar
• Capasso, S. and Napolitano, O. (2012) Testing for the stability of money demand in Italy: has the euro influenced the monetary transmission mechanism?, Applied Economics, 44, 3121–33. 
   Web of Science ®Google Scholar
• Caporale, G. M. and Cerrato, M. (2006) Panel data tests of PPP: a critical overview, Applied Financial Economics, 16, 73–91.
   Google Scholar
• Carrera, C. (2012) Long-run money demand in Latin-American countries: a non-stationary panel data approach, Banco Central de Reserva del Perú, WP 2012-016. 
   Google Scholar
• Chow, G. C. (1966) On the long-run and short-run demand for money, Journal of Political Economy, 2, 111–31.
   Google Scholar
• de Bondt, G. J. (2009) Euro area money demand – empirical evidence on the role of equity and labour markets. ECB Working Paper. No. 1086, ECB, Frankfurt. 
   Google Scholar
• Dreger, C., Reimers, H. E. and Roffia, B. (2007) Long-run money demand in the new EU member states with exchange rate effects, Eastern European Economics, 45, 75–94.
   Web of Science ®Google Scholar
• Dreger, C. and Wolters, W. (2010) Investigating M3 money demand in the euro area, Journal of International Money and Finance, 29, 111–22.
   Web of Science ®Google Scholar
• Elbadawi, I. A. and Schmidt-Hebbel, K. (2007) The demand for money around the end of civil wars, mimeo, Available at http://siteresources.worldbank.org (accessed 3 October 2013). 
   Google Scholar
• Engle, R. F. and Granger, C. W. J. (1987) Co-integration and error correction: representation, estimation and testing, Econometrica, 55, 251–76.
   Web of Science ®Google Scholar
• Fase, M. (1993) The stability of the demand for money in the G7 and EC countries: a survey. Research Memorandum, WO&E n. 9321.
   Google Scholar
• Fidrmuc, J. (2009) Money demand and disinflation in selected CEECs during the accession to the EU. Applied Economics, 41, 1259–67.
   Web of Science ®Google Scholar
• Fischer, I. (1911) The Purchasing Power of Money, Macmillan, New York.
   Google Scholar
• Friedman, M. (1956) The quantity theory of money: a restatement, in Studies in the Quantity Theory of Money (Ed.) M. Friedman, University of Chicago Press, Chicago, IL.
   Google Scholar
• Friedman, M. (1988) Money and the stock of money, Journal of Political Economy, 96, 221–45.
   Web of Science ®Google Scholar
• Garcia-Hiernaux, A. and Cerno, L. (2006) Empirical evidence for a money demand function: a panel data analysis of 27 countries in 1988–98. Applied Econometrics and International Development, 6, 1.
   Google Scholar
• Gerlach-Kristen, P. (2001) The demand for money in Switzerland 1936–1995, Swiss Journal of Economics and Statistics, 137, 535–54.
   Google Scholar
• Hall, S. G., Swamy, P. A. V. B. and Tavlas, G. S. (2012) Generalized cointegration, Friedman, and the demand for money in the euro area, mimeo. Available at http://business.cardiff.ac.uk/sites/default/files/Hall.pdf (accessed 3 October 2013). 
   Google Scholar
• Hamori, S. (2008) Empirical analysis of the money demand function in sub-Saharan Africa, Economics Bulletin, 15, 1–15.
   Google Scholar
• Hamori, S. and Hamori, N. (2008) Demand for money in the euro area, Economic Systems, 32, 274–84.
   Google Scholar
• Harb, N. (2004) Money demand function: a heterogeneous panel application, Applied Economics Letters, 11, 551–5.
   Web of Science ®Google Scholar
• Harris, R. and Sollis, R. (2003) Applied Time Series Modelling and Forecasting, Wiley, Chichester.
   Google Scholar
• Hlouskova, J. and Wagner, M. (2006) The performance of panel unit root and stationarity tests: results from a large scale simulation study, Econometric Reviews, Taylor and Francis Journals, 25, 85–116.
   Google Scholar
• Hlouskova, J. and Wagner, M. (2010) The performance of panel cointegration methods: results from a large scale simulation study, Econometric Reviews, 29, 182–223.
   Google Scholar
• Houssain, A. A. (2012) Modelling of narrow money demand in Australia: an ARDL cointegration approach, 1970–2009, Empirical Economics, 42, 767–90. 
   Google Scholar
• Jaeger, A. and Schuknecht, L. (2004) Boom-bust phases in asset prices and fiscal policy behavior, IMF Working Papers. International Monetary Fund, 04/54, IMF, Washington, DC.
   Google Scholar
• Johannes, J. M. and Nasseh, A. R. (1985) Wealth in money demand: an application of non-nested hypothesis tests, Southern Economic Journal, 51, 1099–106.
   Web of Science ®Google Scholar
• Kao, C. (1999) Spurious regression and residual-based tests for cointegration in panel data, Journal of Econometrics, 90, 1–44.
   Web of Science ®Google Scholar
• Keynes, J. M. (1936) The General Theory of Employment, Interest and Money, MacMillan, London.
   Google Scholar
• Kumar, S., Chowdhury, M. and Rao, B. B. (2010) Demand for money in the selected OECD countries: a time series panel data approach and structural breaks, MPRA Paper. No. 22204. University Library of Munich, Germany.
   Google Scholar
• Kumar, S. and Webber, J. (2013) Australasian money demand stability: application of structural break tests, Applied Economics, 45, 1011–25.
   Web of Science ®Google Scholar
• Laidler, D. (1966) Some evidence on the demand for money, Journal of Political Economy, 64, 55–68.
   Web of Science ®Google Scholar
• Laidler, D. (1977) The Demand for Money: Theory and Evidence, Harpers and Row, London.
   Google Scholar
• Larsson, R., Lyhagen, J. and Löthegren, M. (2001) Likelihood-based cointegration tests in heterogeneous panels, Econometrics Journal, 4, 109–42.
   Google Scholar
• Leigh, D. and Stehn, J. (2009) Fiscal and monetary policy during downturns: evidence from the G7, IMF Working Paper WP/09/50, IMF, Washington, DC.
   Google Scholar
• Levin, A., Lin, C. F. and Chu, C. S. J. (2002) Unit root tests with panel data: asymptotic and finite sample properties, Journal of Econometrics, 108, 1–24.
   Web of Science ®Google Scholar
• Lieberman, C. (1977) The transactions demand for money and technological change, Review of Economics and Statistics, 59, 307–17.
   Web of Science ®Google Scholar
• Lieberman, C. (1980) The long-run and short-run demand for money, revisited, Journal of Money, Credit and Banking, 12, 43–57.
   Web of Science ®Google Scholar
• Maddala, G. S. and Wu, S. (1999) Comparative study of unit root tests with panel data and a new simple test, Oxford Bulletin of Economics and Statistics, 61, 631–52.
   Web of Science ®Google Scholar
• Mark, N. C. and Sul, S. (2003) Cointegration vector estimation by panel DOLS and long-run money demand, Oxford Bulletin of Economics and Statistics, 65, 655–80.
   Web of Science ®Google Scholar
• Marshall, A. (1923) Money, Credit and Commerce, Macmillan, London.
   Google Scholar
• Mulligan, C. B. and Sala-I-Martin, X. (1992) U.S. money demand: surprising cross-sectional estimates. Brookings papers on economic activity, Economic Studies Program, 23, 285–343.
   Google Scholar
• Narayan, P., Narayan, S. and Mishra, V. (2009) Estimating money demand functions for South Asian countries, Empirical Economics, 36, 685–96.
   Web of Science ®Google Scholar
• Nautz, D. and Rondorf, U. (2011) The (in)stability of money demand in the euro area: lessons from a cross-country analysis, Empirica, 38, 539–53.
   Web of Science ®Google Scholar
• Patinkin, D. (1965) An indirect-utility approach to the theory of money, assets and savings, in The Theory of Interest Rates, Vol. 905 (Eds.) F. H. Hahn and F. Brechling, Macmillan London. 
   Google Scholar
• Pedroni, P. (1999) Critical values for cointegration tests in heterogeneous panels with multiple regressors, Oxford Bulletin of Economics and Statistics, 61, 653–70.
   Web of Science ®Google Scholar
• Pedroni, P. (2001) Purchasing power parity tests in cointegrated panels, Review of Economics and Statistics, 83, 727–31.
   Web of Science ®Google Scholar
• Pedroni, P. (2004) Panel cointegration: asymptotic and finite sample properties of pooled time series tests with application to the PPP hypothesis, Econometric Theory, 20, 597–625.
   Web of Science ®Google Scholar
• Pesaran, M. H. (2007) A simple panel unit root test in the presence of cross section dependence, Journal of Applied Econometrics, 22, 265–312.
   Web of Science ®Google Scholar
• Pigou, A. C. (1917) The value of money, Quarterly Journal of Economics, 37, 38–65.
   Google Scholar
• Rao, B. B., Tamazian, A. and Singh, P. (2009) Demand for money in the Asian countries: a systems GMM panel data approach and structural breaks, MPRA Paper 15030, University Library of Munich, Germany.
   Google Scholar
• Reinsel, G. C. and Ahn, S. K. (1992) Vector autoregressive models with unit roots and reduced rank structure: estimation of likelihood ratio test and forecasting, Journal of Time Series Analysis, 13, 353–7.
   Google Scholar
• Saikkonen, P. (1991) Asymptotically efficient estimation of cointegration regressions, Econometric Theory, 7, 1–21.
   Web of Science ®Google Scholar
• Setzer, R. and Greiber, G. (2007) Money and housing: evidence for the euro area and the US, Deutsche Bundesbank Discussion Paper, 12/2007, Frankfurt.
   Google Scholar
• Setzer, R. and Wolff, G. B. (2009) Money demand in the euro area: new insights from disaggregated data, European Economy, Economic Papers 373, Directorate General Economic and Monetary Affairs, European Commission, Brussels.
   Google Scholar
• Stock, J. H. and Watson, M. W. (1993) A simple estimator of cointegrating vectors in higher order integrated systems, Econometrica, 61, 783–820.
   Web of Science ®Google Scholar
• Taylor, M. P. (1993) Money demand for U.K. broad money, 1871–1913, Review of Economics and Statistics, 75, 112–17.
   Web of Science ®Google Scholar
• Thornton, D. L. (1985) The appropriate interest rate and scale variable in money demand: results from non-nested tests, Applied Economics, 17, 735–44.
   Web of Science ®Google Scholar
• Tobin, J. (1956) The interest-elasticity of transactions demand for cash, Review of Economics and Statistics, 38, 241–7.
   Web of Science ®Google Scholar