메뉴 건너뛰기




Volumn 14, Issue 1, 2005, Pages 57-80

Inflation-rate volatility and money demand: Evidence from less developed countries

Author keywords

Cointegration; Inflation; Money demand; Structural instability

Indexed keywords


EID: 13844269176     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2003.04.001     Document Type: Article
Times cited : (19)

References (55)
  • 2
    • 13844272911 scopus 로고
    • Klein's price variability terms in the U.S. demand for money
    • November
    • Allen S.D. Klein's price variability terms in the U.S. demand for money Journal of Money, Credit and Banking 1982, November 525-530
    • (1982) Journal of Money, Credit and Banking , pp. 525-530
    • Allen, S.D.1
  • 3
    • 0030497395 scopus 로고    scopus 로고
    • Real exchange-rate volatility and trade flows; The experience of eight European economies
    • Arize A.C. Real exchange-rate volatility and trade flows; The experience of eight European economies International Review of Economics and Finance 5 1996 187-205
    • (1996) International Review of Economics and Finance , vol.5 , pp. 187-205
    • Arize, A.C.1
  • 4
    • 21344478972 scopus 로고
    • The value of time and recent U.S. money demand instability
    • January
    • Arize A.C. & Darrat A.F. The value of time and recent U.S. money demand instability Southern Economic Journal 1994, January 564-578
    • (1994) Southern Economic Journal , pp. 564-578
    • Arize, A.C.1    Darrat, A.F.2
  • 5
    • 13844282076 scopus 로고    scopus 로고
    • Does inflation variability affect the demand for money in China? Evidence from error-correction models
    • Spring
    • Arize A.C. & Malindretos J. Does inflation variability affect the demand for money in China? Evidence from error-correction models International Economic Journal 14 2000, Spring 47-60
    • (2000) International Economic Journal , vol.14 , pp. 47-60
    • Arize, A.C.1    Malindretos, J.2
  • 8
    • 38249016136 scopus 로고
    • Why does high inflation raise inflation uncertainty?
    • June
    • Ball L. Why does high inflation raise inflation uncertainty? Journal of Monetary Economics 1992, June 371-378
    • (1992) Journal of Monetary Economics , pp. 371-378
    • Ball, L.1
  • 9
    • 84963017835 scopus 로고
    • The transactions demand for cash: An inventory theoretic approach
    • Baumol W.J. The transactions demand for cash: An inventory theoretic approach Quarterly Journal of Economics 66 1952 545-556
    • (1952) Quarterly Journal of Economics , vol.66 , pp. 545-556
    • Baumol, W.J.1
  • 11
    • 0000364634 scopus 로고
    • The demand for money and the variability of the rate of inflation: Some empirical results
    • June
    • Blejer M.I. The demand for money and the variability of the rate of inflation: Some empirical results International Economic Review 1979, June 545-549
    • (1979) International Economic Review , pp. 545-549
    • Blejer, M.I.1
  • 12
    • 85005214032 scopus 로고
    • Inflation, hedging and the demand for money
    • December
    • Boonekamp C.F.J. Inflation, hedging and the demand for money American Economic Review 1978, December 821-833
    • (1978) American Economic Review , pp. 821-833
    • Boonekamp, C.F.J.1
  • 13
    • 84977369202 scopus 로고
    • Money demand during hyperinflation and stabilization: Bolivia, 1980-1988
    • April
    • Carlos Asiles M. Honohan P. McNelis P.D. Money demand during hyperinflation and stabilization: Bolivia, 1980-1988 Economic Inquiry 31 1993, April 262-273
    • (1993) Economic Inquiry , vol.31 , pp. 262-273
    • Carlos, A.M.1    Honohan, P.2    McNelis, P.D.3
  • 14
    • 84981676740 scopus 로고
    • Finite sample sizes of Johansen's likelihood ratio tests for cointegration
    • Cheung Y.W. Lai K.S. Finite sample sizes of Johansen's likelihood ratio tests for cointegration Oxford Bulletin of Economics and Statistics 55 1993 313-328
    • (1993) Oxford Bulletin of Economics and Statistics , vol.55 , pp. 313-328
    • Cheung, Y.W.1    Lai, K.S.2
  • 15
    • 0043285401 scopus 로고    scopus 로고
    • Does interest rate volatility affect the U.S. M1 demand function? Evidence from cointegration
    • December
    • Choudhry T. Does interest rate volatility affect the U.S. M1 demand function? Evidence from cointegration The Manchester School 67 6 1999, December 621-648
    • (1999) The Manchester School , vol.67 , Issue.6 , pp. 621-648
    • Choudhry, T.1
  • 16
    • 0009285303 scopus 로고
    • Empirical analysis of macroeconomic time series: VAR and structural models
    • Clements M.P. & Mizon G.E. Empirical analysis of macroeconomic time series: VAR and structural models European Economic Review 35 1991 161-178
    • (1991) European Economic Review , vol.35 , pp. 161-178
    • Clements, M.P.1    Mizon, G.E.2
  • 17
    • 84986398323 scopus 로고
    • Interpreting an error correction model: Partial adjustment, forward looking behavior, and dynamic, international money demand
    • January-March
    • Domowitz I. & Hakkio C.S. Interpreting an error correction model: Partial adjustment, forward looking behavior, and dynamic, international money demand Journal of Applied Econometrics 5 1990, January-March 29-46
    • (1990) Journal of Applied Econometrics , vol.5 , pp. 29-46
    • Domowitz, I.1    Hakkio, C.S.2
  • 18
    • 84981466886 scopus 로고
    • The early stages of financial innovation and money demand in France and Italy
    • June
    • Dooley M.P. Spinelli F. The early stages of financial innovation and money demand in France and Italy The Manchester School 1989, June 107-124
    • (1989) The Manchester School , pp. 107-124
    • Dooley, M.P.1    Spinelli, F.2
  • 19
    • 0001005120 scopus 로고
    • Estimates of the variance of U.S. inflation based upon the ARCH model
    • August
    • Engle R.F. Estimates of the variance of U.S. inflation based upon the ARCH model Journal of Money, Credit, and Banking 1983, August 286-301
    • (1983) Journal of Money, Credit, and Banking , pp. 286-301
    • Engle, R.F.1
  • 20
    • 0000013567 scopus 로고
    • Cointegration and error-correction: Representation, estimation, and testing
    • Engle R.F. & Granger C.W.J. Cointegration and error-correction: Representation, estimation, and testing Econometrica 55 1987 251-276
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 21
    • 85011196008 scopus 로고    scopus 로고
    • Special section on exogeneity, cointegration, and economic policy analysis: Associate editor's introduction
    • Ericsson N.R. Special section on exogeneity, cointegration, and economic policy analysis: Associate editor's introduction Journal of Business and Economic Statistics 16 1998 369
    • (1998) Journal of Business and Economic Statistics , vol.16 , pp. 369
    • Ericsson, N.R.1
  • 23
    • 0002721475 scopus 로고
    • The quantity theory of money: A restatement
    • M. Friedman (Ed.), Chicago: University of Chicago Press
    • Friedman M. The quantity theory of money: A restatement in: Friedman M. (Ed.), The quantity theory of money 1956 University of Chicago Press Chicago
    • (1956) The Quantity Theory of Money
    • Friedman, M.1
  • 24
    • 13844282077 scopus 로고
    • Forecast dispersion as a measure of economic dispersion
    • Spring
    • Garner C.A. Forecast dispersion as a measure of economic dispersion Quarterly Review of Economics and Business 1985, Spring 58-73
    • (1985) Quarterly Review of Economics and Business , pp. 58-73
    • Garner, C.A.1
  • 25
    • 0032454874 scopus 로고    scopus 로고
    • Monetary dynamics in Ghana: Evidence from cointegration, error-correction modeling and exogeneity
    • Ghartey E.E. Monetary dynamics in Ghana: Evidence from cointegration, error-correction modeling and exogeneity Journal of Development Economics 57 1998 473-486
    • (1998) Journal of Development Economics , vol.57 , pp. 473-486
    • Ghartey, E.E.1
  • 26
    • 13844282078 scopus 로고    scopus 로고
    • Profit possibilities in currency markets: Arbitrage, hedging and speculation
    • in press
    • Ghosh D.K. Arize A.C. Profit possibilities in currency markets: Arbitrage, hedging and speculation The Financial Review 38 2003 473-496 in press
    • (2003) The Financial Review , vol.38 , pp. 473-496
    • Ghosh, D.K.1    Arize, A.C.2
  • 27
    • 0035995693 scopus 로고    scopus 로고
    • Editors' introduction to twentieth anniversary commemorative issue of the Journal of Business and Economic Statistics
    • January
    • Ghysels E. & Hall A. Editors' introduction to twentieth anniversary commemorative issue of the Journal of Business and Economic Statistics Journal of Business and Economic Statistics 20 1 2000, January 1
    • (2000) Journal of Business and Economic Statistics , vol.20 , Issue.1 , pp. 1
    • Ghysels, E.1    Hall, A.2
  • 29
    • 0002337322 scopus 로고
    • The demand for money in an open economy: Germany and the United Kingdom
    • Jaunary
    • Hamburger M.J. The demand for money in an open economy: Germany and the United Kingdom Journal of Monetary Economics 3 1977, Jaunary 25-50
    • (1977) Journal of Monetary Economics , vol.3 , pp. 25-50
    • Hamburger, M.J.1
  • 30
    • 84952494734 scopus 로고
    • Tests for parameter stability in regressions with I(1) processes
    • July
    • Hansen B.E. Tests for parameter stability in regressions with I(1) processes Journal of Business and Economic Statistics 10 1992, July 321-335
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 321-335
    • Hansen, B.E.1
  • 31
    • 0002431962 scopus 로고
    • Econometric methodology: A personal perspective
    • T. Bewley (Ed.), Cambridge, UK: Cambridge University Press
    • Hendry D.F. Econometric methodology: A personal perspective in: Bewley T. (Ed.), Advances in econometrics Vol. 2 1987 29-48 Cambridge University Press Cambridge, UK
    • (1987) Advances in Econometrics , vol.2 , pp. 29-48
    • Hendry, D.F.1
  • 33
    • 0001092189 scopus 로고
    • Modeling the demand for narrow money in the United Kingdom and the United States
    • May
    • Hendry D.F. & Ericsson N.R. Modeling the demand for narrow money in the United Kingdom and the United States European Economic Review 35 1991, May 833-886
    • (1991) European Economic Review , vol.35 , pp. 833-886
    • Hendry, D.F.1    Ericsson, N.R.2
  • 35
    • 13844256044 scopus 로고    scopus 로고
    • International Financial Statistics, International Monetary Fund, Washington DC, CD-ROM
    • International Financial Statistics, International Monetary Fund, Washington DC, CD-ROM, 2000.
    • (2000)
  • 36
    • 84981621724 scopus 로고
    • Determination of cointegration rank in the presence of a linear trend
    • Johansen S. Determination of cointegration rank in the presence of a linear trend Oxford Bulletin of Economics and Statistics 54 1992 383-397
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 383-397
    • Johansen, S.1
  • 38
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration with applications to demand for money
    • May
    • Johansen S. & Juselius K. Maximum likelihood estimation and inference on cointegration with applications to demand for money Oxford Bulletin of Economics and Statistics 1990, May 169-210
    • (1990) Oxford Bulletin of Economics and Statistics , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 39
    • 0001501610 scopus 로고
    • The search for a stable money demand function: A survey of the post-1973 literature
    • Judd J.P. & Scadding J.L. The search for a stable money demand function: A survey of the post-1973 literature Journal of Economic Literature 20 3 1982 993-1023
    • (1982) Journal of Economic Literature , vol.20 , Issue.3 , pp. 993-1023
    • Judd, J.P.1    Scadding, J.L.2
  • 40
    • 44049113090 scopus 로고
    • Domestic and foreign effects on prices in an open economy: The case of Denmark
    • Juselius K. Domestic and foreign effects on prices in an open economy: The case of Denmark Journal of Policy Modelling 14 1992 401-428
    • (1992) Journal of Policy Modelling , vol.14 , pp. 401-428
    • Juselius, K.1
  • 41
    • 4244109492 scopus 로고
    • The demand for money and variability of the rate of inflation: An empirical note
    • Khan A.H. The demand for money and variability of the rate of inflation: An empirical note Economics Letters 10 1982 257-261
    • (1982) Economics Letters , vol.10 , pp. 257-261
    • Khan, A.H.1
  • 42
    • 0001617708 scopus 로고
    • The demand for quality adjusted cash balances: Price uncertainty in the U.S. demand for money function
    • August
    • Klein B. The demand for quality adjusted cash balances: Price uncertainty in the U.S. demand for money function Journal of Political Economy 1977, August 691-715
    • (1977) Journal of Political Economy , pp. 691-715
    • Klein, B.1
  • 43
    • 38249019698 scopus 로고
    • A liquidity-in-advance model of the demand for money under price uncertainty
    • Mizrach B. & Santomero A. A liquidity-in-advance model of the demand for money under price uncertainty Journal of Monetary Economics 26 1990 143-159
    • (1990) Journal of Monetary Economics , vol.26 , pp. 143-159
    • Mizrach, B.1    Santomero, A.2
  • 44
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distributions of the maximum likelihood cointegration ranks test statistics: Four cases
    • August
    • Osterwald-Lenum M. A note with quantiles of the asymptotic distributions of the maximum likelihood cointegration ranks test statistics: Four cases Oxford Bulletin of Economics and Statistics 54 1992, August 461-472
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-472
    • Osterwald-Lenum, M.1
  • 45
    • 0001447776 scopus 로고
    • Econometric issues in the analysis of regressions with generated regressors
    • February
    • Pagan A.R. Econometric issues in the analysis of regressions with generated regressors International Economic Review 25 1984, February 221-247
    • (1984) International Economic Review , vol.25 , pp. 221-247
    • Pagan, A.R.1
  • 46
    • 84986346816 scopus 로고
    • The econometric analysis of models, with risk terms
    • May/June
    • Pagan A.R. & Ullah A. The econometric analysis of models, with risk terms Journal of Applied Econometrics 3 1988, May/June 87-105
    • (1988) Journal of Applied Econometrics , vol.3 , pp. 87-105
    • Pagan, A.R.1    Ullah, A.2
  • 48
    • 0003412616 scopus 로고
    • Working Paper, 88-23 Ithaca, New York: Cornell University, Department of Economics
    • Park J.Y. & Choi B. A new approach to testing for a unit root Working Paper, 88-23 1988 Cornell University, Department of Economics Ithaca, New York
    • (1988) A New Approach to Testing for a Unit Root
    • Park, J.Y.1    Choi, B.2
  • 49
    • 13844272909 scopus 로고
    • The demand for money and the variability of the rate of inflation (India-1950-51 to 1977-78)
    • Paul T.M. The demand for money and the variability of the rate of inflation (India-1950-51 to 1977-78) Indian Economic Journal 29 1981 65-74
    • (1981) Indian Economic Journal , vol.29 , pp. 65-74
    • Paul, T.M.1
  • 50
    • 85005426941 scopus 로고
    • Inflation uncertainty and the demand for money
    • July
    • Smirlock M. Inflation uncertainty and the demand for money Economic Inquiry 1982, July 355-364
    • (1982) Economic Inquiry , pp. 355-364
    • Smirlock, M.1
  • 52
    • 38249030214 scopus 로고
    • Inflation risk and the speed of adjustment in short-run money demand functions
    • May
    • Sweeney R.J. Inflation risk and the speed of adjustment in short-run money demand functions Economics Letters 26 1988, May 271-276
    • (1988) Economics Letters , vol.26 , pp. 271-276
    • Sweeney, R.J.1
  • 53
    • 0001651125 scopus 로고
    • The interest elasticity of transactions demand for cash
    • Tobin J. The interest elasticity of transactions demand for cash Review of Economics and Statistics 38 1956 241-247
    • (1956) Review of Economics and Statistics , vol.38 , pp. 241-247
    • Tobin, J.1
  • 55
    • 0002708891 scopus 로고
    • Demand for money in developing countries - Some theoretical and empirical results
    • Wong C. Demand for money in developing countries - Some theoretical and empirical results Journal of Monetary Economics 3 1977 59-86
    • (1977) Journal of Monetary Economics , vol.3 , pp. 59-86
    • Wong, C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.