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

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 mo...

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Bibliographic Details
Main Author: Cuevas, Mario A.
Language:en_US
Published: World Bank, Washington, DC 2013
Subjects:
aggregate demand
annual rate
ARMA
autocorrelation
CD
cointegration
CPI
currency
currency depreciation
data set
demand for money
economic activity
economic relations
economic theory
elasticities
elasticity
Empirical approaches
empirical results
empirical studies
endogenous variable
endogenous variables
equations
equilibrium
errors in variables
exogenous variable
exogenous variables
functional forms
GNP
goodness of fit
heteroskedasticity
hypotheses
inflation
inflation rate
interest rates
Kurtosis
log inflation
long-run equilibrium
M2
macroeconomic variables
matrices
matrix
measurement errors
monetary aggregates
money balances
Money demand
nominal rate
opportunity cost
Parameter estimation
POLICY RESEARCH
random walk
random walks
real GDP
sample size
short-run dynamics
Skewness
Standard Deviation
stationary processes
time series
Online Access:http://hdl.handle.net/10986/15761

Internet

http://hdl.handle.net/10986/15761

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