IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v33y2001i6p771-782.html
   My bibliography  Save this article

Time-varying parameter error correction models: the demand for money in Venezuela, 1983.I-1994.IV

Author

Listed:
  • Julian Ramajo

Abstract

The possibility of using time-varying parameter models in the context of error correction models is studied empirically. As an application, a money demand relationship (M1) for Venezuela is estimated from 1983 to 1994 within a cointegrated VAR framework. First, the stochastic properties of the series are analysed, studying each corresponding order of integration. Second, the existence of a long-run stable relation between the variables involved has been investigated, and then the cointegration relation and the short-run adjustment mechanism estimated. As both relations are identified in the context of constant parameters a stability analysis is performed. Finally, the technique of Kalman filtering is used to estimate a model that permits the short-run parameters to vary, while the parameters of the long-run relation are kept constant.

Suggested Citation

  • Julian Ramajo, 2001. "Time-varying parameter error correction models: the demand for money in Venezuela, 1983.I-1994.IV," Applied Economics, Taylor & Francis Journals, vol. 33(6), pages 771-782.
    • Handle: RePEc:taf:applec:v:33:y:2001:i:6:p:771-782
    DOI: 10.1080/00036840122141
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840122141
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036840122141?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Gennari, E., 1999. "Estimating Money Demand in Italy 1970-1994," Economics Working Papers eco99/7, European University Institute.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hilde Bjørnland, 2005. "A stable demand for money despite financial crisis: the case of Venezuela," Applied Economics, Taylor & Francis Journals, vol. 37(4), pages 375-385.
    2. Paresh Kumar Narayan, 2010. "Modelling money demand for a panel of eight transitional economies," Applied Economics, Taylor & Francis Journals, vol. 42(25), pages 3293-3305.
    3. Singh, Sunny Kumar, 2016. "Currency demand stability in the presence of seasonality and endogenous financial innovation: Evidence from India," MPRA Paper 71552, University Library of Munich, Germany.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Salvatore Capasso & Oreste Napolitano, 2012. "Testing for the stability of money demand in Italy: has the Euro influenced the monetary transmission mechanism?," Applied Economics, Taylor & Francis Journals, vol. 44(24), pages 3121-3133, August.
    2. Hannu KOSKINEN, 2010. "Modelling of Structural Changes in Demand for Money Cointegration Relations," EcoMod2004 330600082, EcoMod.
    3. Kai Carstensen & Jan Hagen & Oliver Hossfeld & Abelardo Salazar Neaves, 2009. "Money Demand Stability And Inflation Prediction In The Four Largest Emu Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 73-93, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:33:y:2001:i:6:p:771-782. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.