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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| Format: | Policy Research Working Paper |
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World Bank, Washington, DC
2013
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| Online Access: | http://hdl.handle.net/10986/15761 |
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okr-10986-157612021-04-23T14:03:22Z Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework Cuevas, Mario A. 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 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 money demand associated with the structural time series and error correction approaches. Estimated short-run dynamics are more fragile, with the structural time series modeling approach providing richer insights into the adjustment dynamics of money demand. A cycle with a three-year period has been found to be common to money demand, real GDP, and opportunity cost variables. This cycle is robust to changes in model specification, including choice of opportunity cost variables. Higher frequency cycles are also found to exist, but are more sensitive to model specification. Results are also presented for a combined approach that takes advantage of error correction models, as well as insights into short-run dynamics afforded by the structural time series modeling approach. 2013-09-10T20:09:09Z 2013-09-10T20:09:09Z 2002-05 http://hdl.handle.net/10986/15761 en_US CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research Latin America & Caribbean Caribbean Latin America |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
en_US |
| topic |
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 |
| spellingShingle |
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 Cuevas, Mario A. Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework |
| geographic_facet |
Latin America & Caribbean Caribbean Latin America |
| description |
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 money demand associated with the structural time series and error correction approaches. Estimated short-run dynamics are more fragile, with the structural time series modeling approach providing richer insights into the adjustment dynamics of money demand. A cycle with a three-year period has been found to be common to money demand, real GDP, and opportunity cost variables. This cycle is robust to changes in model specification, including choice of opportunity cost variables. Higher frequency cycles are also found to exist, but are more sensitive to model specification. Results are also presented for a combined approach that takes advantage of error correction models, as well as insights into short-run dynamics afforded by the structural time series modeling approach. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Cuevas, Mario A. |
| author_facet |
Cuevas, Mario A. |
| author_sort |
Cuevas, Mario A. |
| title |
Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework |
| title_short |
Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework |
| title_full |
Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework |
| title_fullStr |
Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework |
| title_full_unstemmed |
Money Demand in Venezuela : Multiple Cycle Extraction in a Cointegration Framework |
| title_sort |
money demand in venezuela : multiple cycle extraction in a cointegration framework |
| publisher |
World Bank, Washington, DC |
| publishDate |
2013 |
| url |
http://hdl.handle.net/10986/15761 |
| _version_ |
1764431069867671552 |