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

Author

Listed:
  • Kjosevski Jordan

    (Independent Researcher)

  • Petkovski Mihail

    (Faculty of Economics, Ss Cyril and Methodius, University in Skopje)

  • Naumovska Elena

    (Faculty of Economics, Ss Cyril and Methodius, University in Skopje)

Abstract

The goal of this paper is to examine the stability of money demand (M1) in five Western Balkan countries using quarterly data from 2005Q1 to 2014Q4. The dynamic ordinary least squares – DOLS method was used to find the long-run relationships in a money demand model. The empirical results identify the long-run money demand relationship among real M1 nominal interest rate, exchange rate, inflation and a dummy variable for the effect of the European debt crisis. The estimated long-run coefficients are, respectively −0.086, 0.519, 0.002 and 0.030. Our findings imply that real money demand in Western Balkan countries was stable in the analyzed period.

Suggested Citation

  • Kjosevski Jordan & Petkovski Mihail & Naumovska Elena, 2016. "The Stability of Long-Run Money Demand in Western Balkan Countries: An Empirical Panel Investigation," South East European Journal of Economics and Business, Sciendo, vol. 11(2), pages 61-70, December.
    • Handle: RePEc:vrs:seejeb:v:11:y:2016:i:2:p:61-70:n:5
    DOI: 10.1515/jeb-2016-0011
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    More about this item

    Keywords

    money demand; cointegration; dynamic ordinary least squares; stability; Western Balkan countries;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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