Money, inflation and output in Romania, 1992-2000

Abstract : Money, inflation and output are tested for stationarity, and found to be integrated of order one. We apply the Johansen procedure for cointegration to test for the rank of the matrix of cointegration relations (one), to test for the weak exogeneity of output (accepted), inflation (rejected) and money (rejected). We interpret the unique cointegrating relationship as an extended Cagan money demand function. We then estimate error correction mechanisms, which explain the short-run movements of real money and inflation. The evidence suggests that in the period considered, including the sub-sample between the liberalization shocks, inflation was largely a monetary phenomenon.
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Journal of International Money and Finance, Elsevier, 2006, 25 (2), pp.1-18. 〈10.1016/j.jimonfin.2005.11.006〉
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Soumis le : mardi 20 novembre 2012 - 08:46:35
Dernière modification le : mardi 24 avril 2018 - 17:20:09

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Nina Budina, Wojciech Maliszewski, Georges De Menil, Geomina Turlea. Money, inflation and output in Romania, 1992-2000. Journal of International Money and Finance, Elsevier, 2006, 25 (2), pp.1-18. 〈10.1016/j.jimonfin.2005.11.006〉. 〈halshs-00754167〉

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