Analysing money demand relation for OECD countries using common factors

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Analysing money demand relation for OECD countries using common factors. / Karaman Örsal, Deniz Dilan.

in: Applied Economics, Jahrgang 49, Nr. 60, 26.12.2017, S. 6003 - 6013.

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

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Karaman Örsal DD. Analysing money demand relation for OECD countries using common factors. Applied Economics. 2017 Dez 26;49(60):6003 - 6013. doi: 10.1080/00036846.2017.1371842

Bibtex

@article{bd311ee0b4d841239cdb17362a4db972,
title = "Analysing money demand relation for OECD countries using common factors",
abstract = "This article investigates the existence of a long-run money demand relation for a panel data consisting of 13 OECD countries. The analysis is based on the most recent data. The existence of a long-run money demand relation is tested with two new meta-analytic panel cointegrating rank tests which are robust to cross-sectional dependence. Cross-sectional dependency in the data generating process is modelled by unobserved common factors. The observed data are decomposed into idiosyncratic and common components, and these two components are analysed separately to find out the driving forces of the long-run stationary relationship. The evidence shows that the long-run money demand relation is driven by the cross-unit cointegration. Finally, the long-run relation is estimated by taking the common factors into account.",
keywords = "Economics, Economics, empirical/statistics, Panel cointegration, money-demand, common factors, global stochastic trends, cross-sectional dependence",
author = "{Karaman {\"O}rsal}, {Deniz Dilan}",
year = "2017",
month = dec,
day = "26",
doi = "10.1080/00036846.2017.1371842",
language = "English",
volume = "49",
pages = "6003 -- 6013",
journal = "Applied Economics",
issn = "0003-6846",
publisher = "Taylor & Francis",
number = "60",

}

RIS

TY - JOUR

T1 - Analysing money demand relation for OECD countries using common factors

AU - Karaman Örsal, Deniz Dilan

PY - 2017/12/26

Y1 - 2017/12/26

N2 - This article investigates the existence of a long-run money demand relation for a panel data consisting of 13 OECD countries. The analysis is based on the most recent data. The existence of a long-run money demand relation is tested with two new meta-analytic panel cointegrating rank tests which are robust to cross-sectional dependence. Cross-sectional dependency in the data generating process is modelled by unobserved common factors. The observed data are decomposed into idiosyncratic and common components, and these two components are analysed separately to find out the driving forces of the long-run stationary relationship. The evidence shows that the long-run money demand relation is driven by the cross-unit cointegration. Finally, the long-run relation is estimated by taking the common factors into account.

AB - This article investigates the existence of a long-run money demand relation for a panel data consisting of 13 OECD countries. The analysis is based on the most recent data. The existence of a long-run money demand relation is tested with two new meta-analytic panel cointegrating rank tests which are robust to cross-sectional dependence. Cross-sectional dependency in the data generating process is modelled by unobserved common factors. The observed data are decomposed into idiosyncratic and common components, and these two components are analysed separately to find out the driving forces of the long-run stationary relationship. The evidence shows that the long-run money demand relation is driven by the cross-unit cointegration. Finally, the long-run relation is estimated by taking the common factors into account.

KW - Economics

KW - Economics, empirical/statistics

KW - Panel cointegration

KW - money-demand

KW - common factors

KW - global stochastic trends

KW - cross-sectional dependence

UR - http://www.scopus.com/inward/record.url?scp=85029451155&partnerID=8YFLogxK

U2 - 10.1080/00036846.2017.1371842

DO - 10.1080/00036846.2017.1371842

M3 - Journal articles

VL - 49

SP - 6003

EP - 6013

JO - Applied Economics

JF - Applied Economics

SN - 0003-6846

IS - 60

ER -

DOI