Monetary Disequilibrium in Developing Countries: Estimation Using a Structural VAR Approach

Morling, Steven (2002) Monetary Disequilibrium in Developing Countries: Estimation Using a Structural VAR Approach. Discussion Paper No. 309, School of Economics, The University of Queensland.

Attached Files (Some files may be inaccessible until you login with your UQ eSpace credentials)
Name Description MIMEType Size Downloads
econ_dp_309_02.pdf econ_dp_309_02.pdf application/pdf 1.60MB 183
Author Morling, Steven
Title Monetary Disequilibrium in Developing Countries: Estimation Using a Structural VAR Approach
School, Department or Centre School of Economics
Institution The University of Queensland
Report Number Discussion Paper No. 309
Publication date 2002-06-01
Subject 340208 Macroeconomics (incl. Monetary and Fiscal Theory)
Abstract/Summary This paper introduces a new application for structural vector autoregression methodology in applying the technique to identifying money velocity gaps for a sample of developing countries. SVAR methodology using long-run restrictions is used to construct money-velocity gaps for a large sample of developing countries. Variance decomposition is used to examine the nature of the shocks to money velocity and impulse response functions are used to examine the nature of the adjustment process. The results suggest that most of the observed shifts in money velocity in developing countries are due to the effects of permanent shocks that may be associated with factors such as financial development and reform. Transitory shifts in velocity around the equilibrium path appear to reflect temporary money shocks that cause temporary disequilibrium in money holdings which dissipate over time as prices adjust. The results are consistent with price stickiness combined with substantial inflation inertia, and financial market imperfections and rigidities that are common in developing countries.
Keyword money velocity gaps
developing countries
disequilibrium conditions
structural VAR methodology
price adjustments

Document type: Department Technical Report
Collection: Discussion Papers (School of Economics)
 
Versions
Version Filter Type
Citation counts: Google Scholar Search Google Scholar
Access Statistics: 284 Abstract Views, 183 File Downloads  -  Detailed Statistics
Created: Wed, 14 Jul 2004, 10:00:00 EST by John East