Long-Run Money Demand in the New EU Member States with Exchange Rate Effects

Abstract

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Does money help predict inflation? An empirical assessment for Central Europe

“…We find that the GDP elasticity is greater than one, which is in line with Fidrmuc (2009). The semi-elasticity of interest rates is rather low, but this accords with previous evidence on Central European countries (Komárek and Melecký, 2003;Dreger et al, 2007).…”

“…Although there is some variation across the countries, the results indicate that the GDP elasticity is greater than one and the interest rate semielasticity is rather low. In general, this broadly corresponds with evidence on previous money demand estimates in Central Europe (Komárek and Melecký, 2003, Dreger et al, 2007, and Fidrmuc, 2009). In the case of Hungary, we find that exchange rate movements influence real money demand (exchange rate appreciation is associated with higher money demand).…”

“…As regards empirical evidence for new Member States of the European Union (NMSs), Dreger, Reimers, and Roffia (2007) examine money demand in the NMSs using panel cointegration methods. Similarly, Fidrmuc (2009) estimates money demand with panel cointegration methods for six NMSs (the Czech Republic, Hungary, Poland, Romania, Slovakia, and Slovenia) over the recent disinflation period.…”

Money-in-the-Utility-Function: Model Simulations and Money Demand Estimation in the Case of the Republic of Macedonia

“…First, we need to test the validity of the Fisher equation in the case of Macedonia. If the Fisher equation holds, the inflation rate is included in the money demand equation through the nominal interest rate (Dreger, Reimers and Roffia 2007). In this case, the inflation rate should be excluded from the money demand equation.…”

The Stability of Long-Run Money Demand in Western Balkan Countries: An Empirical Panel Investigation

“…Evidently, estimates for long-run parameters require more data for a long period. Alternatively, the sample can be extended if the information of all countries is pooled (Dreger, Reimers, and Roffia 2007). This is done by panel integration and cointegration techniques (Banerjee 1999).…”