Analysing money demand relation for OECD countries using common factors
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In: Applied Economics, Vol. 49, No. 60, 26.12.2017, p. 6003 - 6013.
Research output: Journal contributions › Journal articles › Research › peer-review
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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 -