Monetary policy and the velocity of money in Greece: a cointegration approach

Karfakis, Costas

doi:10.1080/758518037

Cited by 20 publications

(11 citation statements)

References 13 publications

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“…Many other studies have followed this path and included the exchange rate in their specification of money demand function. The list includes Arango and Nadiri (1981) for Canada, Germany, UK., the US., Domowitz and Elbadawi (1987) for Sudan, Marquez (1987) for Venezuela, Bahmani-Oskooee and Malixi (1991) for 13 developing countries, Karfakis (1991) for *Address correspondence to this author at The Center for Research on International Economics, The Department of Economics, University of Milwaukee,WI 53201,USA; JEL Classification: F31, F40.…”

Section: Introductionmentioning

confidence: 99%

Global Financial Crisis of 2008, Asymmetric Effects of Exchange Rate Changes, and Stability of the Demand for Money in Japan

Bahmani‐Oskooee

2016

J. Rev. Global Econ.

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We wonder if Global Financial Crisis of 2008 affected stability of the demand for money in Japan. In testing this hypothesis we deviate from previous studies which either excluded the exchange rate from money demand function in Japan or have not been able to find any significant relation between the exchange rate and the demand for money. While we address stability of the demand for money, we show that failure to find a cointegrating relation or significant effects could be due to assuming a linear model in which exchange rate changes have symmetric effects. Once we consider a nonlinear ARDL approach of Shin et al.'s (2014), we show that not only variables in the money demand are cointegrated but exchange rate changes have asymmetric effects. In the long run, while appreciation of yen has significantly positive effect on the demand for money in Japan, depreciation does not. We also find a stable money demand which was not affected by 2008 financial crisis.

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Section: Introductionmentioning

confidence: 99%

Global Financial Crisis of 2008, Asymmetric Effects of Exchange Rate Changes, and Stability of the Demand for Money in Japan

Bahmani‐Oskooee

2016

J. Rev. Global Econ.

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“…Section III presents the theoretical model. Although recent empirical work on money demand in Greece has mainly focused on the behaviour of the narrower aggregates (Karfakis, 1991; Psaradakis, 1993; Papadopoulos and Zis, 1997), 4 the monetary aggregate used for estimation in this paper is M3, which served as the main aggregate guiding the conduct of monetary policy for much of the period under consideration. Section IV describes the estimation procedures.…”

Section: Introductionmentioning

confidence: 99%

Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece*

Brissimis¹,

Hondroyiannis²,

Swamy³

et al. 2003

Oxf Bull Econ Stat

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This paper examines the behaviour of the demand for money in Greece during 1976Q1 to 2000Q4, a period that witnessed many of the influences that cause money-demand instability. Two empirical methodologies, vector error correction (VEC) modelling and second-generation random coefficient (RC) modelling, are used to estimate the demand for money. The coefficients of both the VEC and RC procedures support the hypothesis that the demand for money becomes more responsive to both the own rate of return on money balances and the opportunity cost of holding money because of financial deregulation. In general, both procedures also support the hypothesis that the income elasticity of money demand declines over time as a result of technological improvements in the payments system and the development of money substitutes, which lead to economies of scale in holding money.*We are very grateful to a referee for insightful comments on an earlier version of this paper. We also wish to thank Stephen Hall and Lawrence Klein for helpful comments. The views expressed are the authors' own and should not be interpreted as those of their respective institutions. JEL Classification numbers: C20, E41.OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 65, 5 (2003) 0305-9049 605

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“…Further, while their depiction of the short-run dynamics could be questioned, they do not provide e¤cient estimates for the long-run relationships. In contrast, the studies by Brissimis and Leventakis (1985), Arestis (1988), Karfakis (1991) and Sharma (1994) adopt a modelling strategy based upon error correction, while Psaradakis (1993) analyses the problem from the position of non-stationary time series with cointegrated relationships as advanced by Hendry and Mizon (1993).…”

Section: Estimation Methodologymentioning

confidence: 99%

“…Be that as it may, it is interesting to note that Brissimis and Leventakis (1985) and Arestis (1988) could not identify a stable M1 demand function. Karfakis (1991), employing quarterly data over the period 1975Q1^1988Q3, suggested that the demand for M1 was stable. However, his stability conclusion is somewhat ill founded.…”

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confidence: 99%

The Demand for Money in Greece: Further Empirical Results and Policy Implications

Papadopoulos

Zis

1997

The Manchester School

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In this paper we investigate the determinants and the stability of the demand for broad and narrow de¢nitions of money in Greece. The demand for M2 has not been previously studied. The ¢ndings of the empirical work suggest that the demand for M1 is unstable. For M2 the results presented are not su¤ciently unambiguous to provide a basis for a policy prescription in favour of the adoption of a monetary target. In terms of anti-in£ation policy e¤ciency, it is argued that a potentially better policy choice for Greece would be to join the exchange rate mechanism of the European Monetary System.

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Monetary policy and the velocity of money in Greece: a cointegration approach

Cited by 20 publications

References 13 publications

Global Financial Crisis of 2008, Asymmetric Effects of Exchange Rate Changes, and Stability of the Demand for Money in Japan

Global Financial Crisis of 2008, Asymmetric Effects of Exchange Rate Changes, and Stability of the Demand for Money in Japan

Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece*

The Demand for Money in Greece: Further Empirical Results and Policy Implications

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