Rao, B. Bhaskara and Kumar, Saten (2006): Structural Breaks and the Demand for Money in Fiji.
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This paper fills a gap in the empirical work on the demand for money for Fiji. We allowed for structural breaks in the cointegrating equation, within the Gregory and Hansen framework, and found that there is a cointegrating relationship between real narrow money, real income and the nominal rate of interest in all the three types of their models. However, only the model with an intercept shift for the 1987 political coup yields a meaningful cointegrating relationship. We tested for its temporal stability and found that the demand for money in Fiji is stable.
|Item Type:||MPRA Paper|
|Institution:||University of the South Pacific|
|Original Title:||Structural Breaks and the Demand for Money in Fiji|
|Keywords:||Structural break; Cointegration; Gregory and Hansen; Demand for money; Fiji|
|Subjects:||E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates|
|Depositing User:||B. Bhaskara Rao|
|Date Deposited:||20. Jan 2007|
|Last Modified:||19. Feb 2013 02:55|