A Cointegration Analysis of Broad Money Demand in Cameroon
39 Pages Posted: 30 Jan 2006
There are 2 versions of this paper
A Cointegration Analysis of Broad Money Demand in Cameroon
A Cointegration Analysis of Broad Money Demand in Cameroon
Date Written: March 2001
Abstract
This paper applies cointegration analysis and error-correction modeling to investigate the behavior of broad money demand in Cameroon over 1963/64-1993/94. The cointegrated VAR analysis first describes an open-economy model of money, prices, income, and a vector of rates of return, within which three steady state relations are identified: a stable money demand function, an excess aggregate demand relationship, and the uncovered interest rate relation under fixed exchange rates and perfect capital mobility. Empirical support is thereafter provided for both PPP and the international Fisher parity between Cameroon and France, and the stability of the short-run dynamics of the broad money demand function is confirmed.
Keywords: Cameroon, cointegration, money demand, inflation, fixed exchange rate
JEL Classification: E41, E52, F41
Suggested Citation: Suggested Citation