High inflation rates and the long-run money demand function: evidence from cointegration tests

Article Abstract:

A study was conducted to determine whether a stationary long-run money demand function exists in Argentina, Mexico and Israel, which have high inflation. The aim was to determine the validity of the assumption in studies of the money demand function that a long-run equilibrium between real money balances, real income and the opportunity cost of holding real money balances exists. Tests using the Johansen method of cointegration showed that there exists a stationary long-run money demand function in all three countries. This is true only if currency depreciation is included in the money demand function.

Israel, Mexico, Argentina, Money demand

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Purchasing Power Parity in high-inflation Eastern European countries: evidence from fractional and Harris-Inder cointegration tests

Article Abstract:

Fractional and Harris-Inder cointegration tests are employed to analyze the Purchasing Power Parity (PPP) between the US and four high inflation countries, namely Russia, Poland, Slovenia and Romania. Using only the Russian and Slovenian data, the findings show evidence of relative PPP and very little evidence of absolute PPP. Some support for relative PPP is observed among the four Eastern European countries. It is also observed that countries with large differences in price movements may show favorable evidence of PPP even during short periods of time.

Poland, Romania, Russia, Slovenia, Purchasing power

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The monetary model of exchange rates: evidence from the Canadian float of the 1950s

Article Abstract:

A cointegration technique was used to analyze the exchange rate determination monetary model, applied to the Canadian dollar/United States dollar relationship during the Canadian float, from 1950-1962. The technique describes a long-run equilibrium relationship.

Canada, Exchange Rates, Statistical Data Included, Models, Prices and rates, Foreign exchange, Dollar (United States), Dollar (Canada), Floating rate notes

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