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Routledae

Taylors Francis Croup

**TECHNOLOGICAL AND ECONOMIC DEVELOPMENT OF ECONOMY
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ISSN 2029-4913 phnt/ISSN 2029-4921 online

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**2011 Volume 17(2): 382-396
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doi:10.3846/20294913.2011.587506

HOUSEHOLD MONEY DEMAND IN ROMANIA. EVIDENCE FROM COINTEGRATED VAR Gheorghe Ruxanda', Andreea

The Bucharest Academy of Economic Studies, 15-17 Calea Dorobanti, sector 1, Bucharest, Romania E-mails: 'ghrux@ase.ro (corresponding author); ^andreeabotezatu@gmail.com

Received 7 January 2011; accepted 4 May 2011

Abstract. By the means of cointegrated VAR we investigated the money demand bebaviour of households. Using the traditional determinants and adding variables specific for the sector we succeeded to obtain a relevant description of what influences individuals' money holdings, gradually increasing the number of variables but also restricting on the irrelevant ones. Keywords: cointegrated VAR, households' money demand, SUR. Reference to this paper should be made as follows: Ruxanda, G.; Muraru, A. 2011. Household money demand in Romania. Evidence from cointegrated var. Technological and Economic Development of Economy 17(2): 382-396. . JEL Classification: E4, C30, C32.

1. Introduction This study is a continuation of previous research concerning household money holdings. The reason why sectoral money holdings are worthy to be analysed is the information gain, a greater depth into the understanding of economic influences, reasons and behaviour. Particularities attached to different money holding sectors identified through sectoral analysis allow better knowledge of the economic mechanism and influences and the way they are perceived by the money holders. The most widely used econometric method for estimating money demand is the cointegrated VAR', its framework allowing both long and short run analysis as well as conditioning and restricting on account of economic information. Compared to the previous research, in this paper we use net income as a determinant factor both in the cointegrating framework and in the simultaneous equation approach. BeVAR - Vectors Auto Regressive Copyright © 2011 Vilnius Gediminas Technical University (VGTU) Press Technika www.informaworld.com/tted

Pétursson (2000) starts from the utility function in estimating household money demand. what factors can be added to the traditional determinants of money demand. A system approach is implemented by Chrystal and Mizen (2001. Jain and Moon (1994) • SUR .also by cointegrated VAR . 2. 17(2): 382-396 381 sides the traditional determinants of money demand we also introduce measures of risk and uncertainty as well as specific factors. The inclusion of wealth in the cointegrating vector is also adopted by Seitz and Landesberger (2010). In a previous study. helps explaining monetary developments both in the euro area and US. We also try to indentify the information gain of adding another cointegration analysis. they include as variables monetary aggregates both in real and nominal terms and use both a log and a semi-log specification with respect to the various interest rate options. Tin (2008) shows the importance of income variability for precautionary money holdings. The questions we try to answers are whether household money demand can be estimated in a sound manner by the means of cointegrated VAR.2005) who connect money and consumption to a lending equation . Starting from the consumer's utility function. Chrystal and Mizen (2001) and also Beyer (2009). The paper is structured into this introduction. Choi and Oh (2003) use the same method for estimating uncertainty but also introduce a measure of financial innovation in the money demand equation. Lippi and Secchi (2009) show the manner in which money holdings are influenced by the technology used for money withdrawal. Starting with the same type of models. The latter two authors succeed in showing that the uncertainty measure constructed by using financial market data and business and consumer survey evidence. Thomas (1997) shows the shock absorbing capacity of money holdings as a result of unanticipated movements in income and spending. as well as a measure of uncertainty estimated following Greiber and Lemke (2005). to the money demand framework. Atta-Mensah (2004) includes in the Canadian money demand equation a measure of uncertainty derived through conditional variance. The most common way of estimating money demand is through cointegrated VAR. the one of consumption. 2011. Also. literature review.proving their interactive evolution.Seemingly Unrelated Regression . Results are sometimes supported by SUR^ or FM-OLS (Seitz and Landesberger 2010. especially in the current economic context. the empirical investigation with some theoretical aspects concerning the cointegrated VAR procedure and the conclusions. Landesberger (2007) demonstrated the different behaviour of money holding sectors when the same set of explanatory variables was used. what influences money demand evolution and which are the particularities of Romanian household money demand. Landesberger 2007).Technological and Economic Development of Economy. the informative content of lending for both monetary developments and consumption. He also includes a measure of wealth in the system specification. Literature Review Seitz and Landesberger (2010) analyse household money demand behaviour by comparing four models with different specifications.

where M** is nominal money demand. M2 was deflated by consumption deflator (as all were variables expressed in real terms) and household money holdings were extended backwards until 2000.Y. 59-72. significant differences between the two sectors. 57-73 and Sectoral money holding: determinants and recent developments. Analysing Households Money Demand . Moreover. Moreover.. Household money demand in Romania. nominal wage variable significant for transaction money demand . The variables we used in the analysis are household M2 money holdings^. We adopted the uncertainty measurement implemented by Atta-Mensah (2004) and adapted it to what we considered as a greater relevance for the Romanian context and individuals' behaviour. the only way of avoiding the problems related to spurious regression is analysing them through cointegration.Cointegrated VAR Approach The theoretical model of money demand most often used has the form M'' = f(P. with the help of cointegration analysis. When series are non-stationary. of degree one. showing. not only the estimators obtained by the means of cointegration are not affected by the false relation problem induced 3 Money Demand and Uncertainty. 3. estimate household money demand for both households and non-financial corporations (time period: 1960-1990). Therefore. P represents the price level. individuals choose their money holdings also on account of factors such as uncertainty and risk. Drake and Chrystal (1997) apply nonparametric techniques for investigating households' money demand.384 Gh. ECB Monthly Bulletin. unemployment and consumer confidence. Therefore. As identified in the previous exploratory analyses. A. an alternative to the traditional summing of aggregates' components. . October 2005. also as opportunity cost.. They develop their analysis on Divisia aggregate. in this analysis a measure of risk depicted by consumers' confidence indicator and a measure of uncertainty derived as in a previous study by the means of averaging conditional variance derived from G ARCH models are included. As money demand is usually assumed to be homogenous in the price level.unemployment. on data corresponding to the UK. Ruxanda. ECB Monthly Bulletin August 2006. the data was estimated backwards by taking into account households' holdings of currency (from the national financial accounts) and keeping all other holdings proportional with the share they had in December 2004. interest rate differential (calculated as a difference between the yield of long-term government bonds and deposits rate considered as the own rate of M2) and consumption deflator.OC). this hypothesis was tested so that real money demand could be investigated. Muraru. We adopted a semi-log specification in all the investigations. Evidence from. 4 As sectoral data are available only starting from December 2004. variables entering the equations in logarithms with the exception of interest rate differential. a long-term relation being identified only for households sector. an equation for consumption was added to this money demand equation. Y a measure of real income (can as well be final consumption as derived from the utility function) and OC an opportunity cost variable. A more descriptive approach to analyzing sectoral money demand is presented in articles in the European Central Bank Monthly Bulletin^.

0099 (0. a hypothesis usually assumed.00 -0. Table 1.002) [ 4.904782 CointEql LOG(DEFLSA(-1)) K-l) (g>TREND(OOQl) C 1. The traditional parsimonious equation of money demand encompassing only income and opportunity cost validates the long-run price homogeneity hypothesis.B(1. as we considered them to y '~Síí(V)J be the most relevant for extracting individuals' uncertainty (estimation results are presented in Appendix 2). . ^ Atta-Mensah (2004) used in building the uncertainty measure of the conditional volatility of a stock market index. Restrictions identify all cointegrating vectors LR test for binding restrictions (rank =1): Chisquare(l) Probability Cointegrating Eq: LM2NSA(-1) LWAGEDEFL(-l) 0. Uncertainty_was determined by averaging the standardised conditional volatility^ I Varstd ^Y^lLlX^LlA ^^ ^^^P.97] -0. while in the short run equation a measure of uncertainty is included. long-term interest rate. exchange rate between Canada and US and real GDP. exchange rate and Robor3M rate. but they have the property of being superconsistent (converge to their true value more rapidly. Estimating the households' money demand by the means of cointegrated VAR The additional variables added to the previous model are unemployment and consumer confidence indicator. Testing price homogeneity Cointegration Restrictions: B(1. the extended M2 equation can be estimated in real terms. as the LR test shows (see Table 1).1) = 1.Technological and Economic Development of Economy 201 ¡. Testing long-run price homogeneity We first estimated a cointegration equation on nominal M2.024 -3. 17(2): 382-396 385 by the trend existent in their evolution.84 (0.16] -1.00 0. 90-day commercial paper rate.014310 0. having as determinants only the traditional influences with the goal of testing price homogeneity.3) = -1 Convergence achieved after 7 iterations.28 Therefore. 1(1) variables under these circumstances being asymptotically better than 1(0) variables) (Harris 1995).12) [-7.

some of the investigated series behave as 1(2) variables when considering the whole sample 2000-2010.. n ¡ and O matrices of coefficients and D is a vector of determinist variables (including constants and deterministic trends). a shift dummy for the investigation interval is necessary.\ (=r+l (3) where Hp. so as to ensure Gaussian errors. The first step in the cointegrating VAR methodology. and x. rank = p(full rank) . which correspond to stationary ß^i . A. a higher rank would only lead to over-parametrisation and distorted economical interpretation of results. blip dummies. is the estimation of an unrestricted VAR p 1=1 Errors are assumed to be NI(O. = n. Rank determination is done through a likelihood based procedure which is able to identify the large enough eigenvalues X. Moreover. Evidence from. A thorough inspection of the data series in levels and first difference offers some necessary pieces of information for improving the VAR framework specification. Explaining what provoked these developments can be more productive than considering a quadratic trend (Juselius 2006). Under this framework. 1=1 (2) and testing the rank of Ilj..fi).. The LR test also called the trace test or the Johansen ( 1991 ) test. The second step in the analysis is reformulating the UVAR into a VECM: ¡-1 ' • ¿^y. it does not matter for the time span under analysis as the shift is visible and persistent.386 Gh. Moreover. but more of a temporary correction we considered it was better to assume them 1(1) . As starting with September 2008 most variables registered a shift in their evolution. calculated as l-X. the best lag length is determined. the system specification needs to be improved by correcting and accounting for intervention dummies. The cointegrating VAR framework is very sensitive to specification errors. Muraru. a high number of variables and therefore the computational problems we chose the lag length indicated by the Schwartz and LR criteria (see Table 2). shift dummies.yt_i + ^T¡Ay^_¡ + x^f^x. + e. + OD. due to the recent developments. As most tests rely on normality. The number of cointegration equations is therefore determined by the use of trace test and maximum eigenvalue test. Whether this episode is transitory and the future evolution of the series will indicate this feature. a and ß being pxr matrices.and control with the help ofa shift dummy the change in their evolution. when it comes to the selected ntimber of lags. As errors need to be stationary.as they are when investigated for the interval up to 2008 Q2 (see appendix 1) . Another argument in supporting this decision is the fact that if the remaining autocorrelation is due to omitted factors. but as this evolution is not necessarily a quadratic trend. Even though it is usually better to choose a less parsimonious specification (as cointegration rank tests are robust under over-parametrisation). given the short sample. lack of autocorrelation. Ruxanda. the existence ofa structural break in the data series distorts the results of the ADF test. Tl^yt-i should also be a stationary combination. which we consider to happen. being preferable to account by the means of an external factor for these changes. is a vector of exogenous variables. Household money demand in Romania. where Lli = aß.

43e-09 -2. a specification with trend both in the cointegration equation and in the VAR is suggested.Technological and Economic Development of Economy. the maximum eigenvalue completes the trace statistic.44 -2.54e-09 -2.52 279.80 -1. therefore the results need to be validated from the point of view of economic interpretation and validity. The other statistical measure. Therefore. The asymptotic distribution of the test depends on the cointegrating VAR specification regarding the inclusion of constant and trend. . When analysed up to 2008. the unit elasticity of household money holdings to wage can be considered further on.91 97.17 137. wage and unemployment series.60 3. Lag length determination VAR Lag Order Selection Criteria Endogenous variables: LM2DEFL LVV^AGEDEFL I UNEMPLOYMENT DDEEL CONS_CONE Exogenous variables: C DUMM08 UNCERTANTY Sample: 2000Q1 2010Q3 Included observations: 34 FPE Aie 2. The estimated cointegration equation allows the possibility of restricting the coefficient of real wage to 1. Estimation offers somewhat economically sound results (see Table 3).55» 3.82 47. 2011.31 HQ 6. Vi). Anyway.33 -0. For controlling of the period starting with 2008Q3 reason the shift dummy dummO8 is included as exogenous in the cointegrated VAR specification.98 199.31 1. having a low power. As the restrictions in the VECM framework can be put both on a and ß and their validity tested. these hypotheses being tested by the likelihood ratio statistics.11* 1. As mentioned in Harris (1995) it is not uncommon that the two statistics offer different results.8le 09* -4. therefore.21 1. we restricted the cointegrating rank to 1. This is not surprising the series' evolution after the default of Lehman Brothers. a deterministic trend is present in the data.34* * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion 0 1 2 3 NA Lag LogL -92. At this leg length (1).41* H^ rank = r < p is very sensitive in small samples. At the same time. we analysed whether unit elasticity with respect to wage can be assumed. For economic interpretability.53 45.75e-05 6. especially in the case of small samples. the inclusion of a deterministic trend in both the cointegrating and short-run adjustment systems is justified by the M2. (4) Restricting the VECM is done in accordance with economic theory.86 LR se 7.71 -1. 17(2): 382-396 387 Table 2. by testing the hypothesis of r cointegrating relations against the alternative of r + 1*. between the two the trace statistics is more robust to residuals' lack of normality. the series behaves as 1(1) under the trend inclusion assumption in the ADF test.

52 K-i) UNEMPLOYMENT(-l) DDEFL(-l) CONS_CONF(-1) @TREND(OOQ1) C C The obtained cointegration equation even though acceptably adequate from the perspective of residual tests (normally skewed.82] 0.62] -0.019 (0.38) [-4. Ruxanda.001) [-19.025 (0.73 Cointegrating Eq: LM2DEFL(-1) LWAGEDEFL(-l) 2. we repeated the whole procedure previously described and restricted for a rank of 2 (trace and eigenvalue tests suggested a number of 3 cointegating equations).. which can only be interpreted in terms of increasing precautionary demand for money.388 Gh. very small coefficient and a sign change after imposing the restriction on wages. The interest rate differential was validated as an opportunity cost.002) [5..71] -0.l) = 1. Surprisingly. no signs of autocorrelation nor of heteroskedasticity).0008) [-2.12) [-10.48 (0. Restrictions identify all cointegrating Vectors LR test for binding restrictions (rank=l): Chi-square(l) Probability Cointegrating Eq: LM2DEFL(-1) LWAGEDEFL(-l) I(-l) UNEMPLOYMENT (-1) DDEFL(-l) CONS_CONF(-1) @TREND(OOQ1) CointEql 1.69 0. Evidence from.2) = -1 Convergence achieved after 168 iterations.02 (0.38) [-3. Household money demand Vector Error Correction Estimates Sample (adjusted): 2001Q4 2010Q2 Included observations: 35 after adjustments Standard errors in ( ) 8f t-statistics in [ ] Cointegration Restrictions: B(l. It seems that periods of high inflation do not have the effect of dragging individuals out of the money holdings. Therefore.67] -0. A.004) [-4.029 (0.10 CointEql 1. .00 0.004) [-4. Table 3.35] 0. Unemployment evolution seems to be a determinant of money holdings.003) [-8.56] -1.001) [ 0.99] 3. can be improved by adding another cointegrating equation.34] -1.94] -0.85] -0.85 (0.012 (0. the one for consumption. consumer confidence does not seem to be very relevant for households' behaviour.28 (0. but a different thing happened with quarterly inflation measured through the consumption deflator.00 -1.0007 (0. Muraru.00 -1.009 [ 5. This coefficient could perhaps be also attached to the period of high inflation and increase in monetary aggregates or it might be explained partly also by the differences in computation between the consumption deflator and inflation.002 (0. Household money demand in Romania.95] -0. B(l.

B(2. Household money demand and consumption Vector Error Correction Estimates Sample (adjusted): 2001Q4 2O1OQ2 Included observations: 35 after adjustments Standard errors in ( ) 8f t-statistics in [ ] Cointegration Restrictions: B(l.44) [ 2.57 (0.84] -0.31 DDEFL(-l) CONS_CONF(-1) @TREND(OOQ1) C The equation for consuwmption has the ability of making the households money demand behaviour clearer.61 UNEMPLOYMENT (-1) 0.016 (0. being a hint to the formerly stated precautionary reason.50) [-7.2)=O.0079 (0.2) = 0.07) [-7.00 -0.Technological and Economic Development of Economy. The unemployment measure.09] -0.16 (0.723861 CointEql 1.74] -3.57] 1.l) = 0.001) [-2. Furthermore.0016 (0. previously positively correlated to money demand has the opposite impact on consumption.65] 0.2) = l.003 (0. B(l. a lower standard error and better AIC and SIC information criteria values).005) [0.001) [ 5.44] -0.00 1. B(2. B(l.003 (0. 2011.3) = . including consumption leads to a better fit of short term movements (measured by the increase in adjusted R-square.76] 0.00 -1.1 .l) = 1.1) = O Convergence achieved after 227 iterations.54 (0.00 CointEq2 0.026 -0. 17(2): 382-396 389 Re-estimating the cointegrated var system leads to the results presented in Table 4 (restrictions imposed and no signs of rejection): ' i f f • • • • • • • Table 4.004 -1.001) [ 1. Restrictions identify all cointegrating vectors LR test for binding restrictions (rank = 2): Chi-square(4) Probability Cointegrating Eq: LM2DEFL(-1) LCONS(-l) LWAGEDEFL(-l) 2.B(2.97] -0.4)=0 A(1.064692 0. .00 I(-l) 0.00 0.006) [-2.A(2.

Evidence from. A. . there is a shift inside the M2 which the analysis cannot reveal. this is revealed by the consumption equation. Moreover.D. Results of the VECM estimation are enforced by estimating the system of short run influences by seemingly unrelated regression^ (see appendix 4). Anyway. Given the narrow portfolio options.UNEMPL0YMEN1 — CONSJONF —UNEMPLOYMENT —CONSJONF I Fig. There are still some specification problems (residual tests presented in the appendix 3). a small impact from uncertainty on money demand is acceptable . ResponseoflVEDEFLtoCholesky OneS.hnovations Response of LCONStoCholesky OneS. VAR specifications are more sensitive to deviations from normality due to skewness rather than to kurtosis (Juselius 2006). Innovations -. an increase in precautionary money demand being accompanied by a decrease in transaction holdings. the change in structure is not visible. The measure of uncertainty which we have computed following Atta-Mensah (2004) did not prove relevant for the short term movements. positive impact on M2 money holdings on account of increasing precautionary demand in times of uncertainty and a negative impact for consumption. Neither signs of residual correlation are left. the coefficients are in accordance with expectations. 1. to a certain extent.390 Gh. Muraru. On the other hand. Impulse responses The short-term evolution draws its importance from money holders' behaviour that are considered to establish certain targets and thresholds regarding the quantity of money they hold and who will react for adjusting their holdings when one of the self imposed limits is hit (Smith 1986).006 10 12 14 16 18 20 4 6 8 10 12 14 16 18 20 U. Ruxanda. The multiple normality hypothesis is rejected due to kurtosis values..O. 1) shows that a shock in unemployment will in the long run also have a downward impact on money demand. Household money demand in Romania. Therefore. results of the SUR SUR allows estimating the equations of the system by accounting for the residuals' correlation (coming from different common influences and perceived shocks). But. The effect is opposite for consumption.especially as we analysed the behaviour of M2 money holding which comprise both transaction and precautionary money demand. The biggest downward impact on consumption happens in the first quarters after the shock has taken place. therefore. a shock in consumer confidence has the maximum positive impact at 2-3 quarters after the shock happened. Still. The impulse response analysis (Fig. nor of heteroskedasticity.

111. Chrystal. Because M2 also includes the precautionary component of money holding. under better model specification. L.. S. the whole mechanism could be synthesized as follows: households' money holdings are (i) directly influenced by the level of income (a unit coeflicient being validated). Credit and Banking 37(1): 119-143. therefore. European Central Bank. 2011. Money demand and macroeconomic uncertainty. Lemke.0034 Chrystal. Working Paper No. The estimated cointegrated VAR is acceptably adequate except for the errors' kurtosis.17(2): 382-396 391 estimation provide similar coefficient values. Consumption. A. Journal of Money. Moreover. 2003. K. A dynamic model of money. the estimated cointegrated VAR offers some insight into the mechanism of household money demand. Johansen. J. Therefore. S.which gradually turns negative . Landesberger 2010). Oh. Journal ofMoney. (income and opportunity cost) we introduced unemployment as decision important variable and measures of risk and uncertainty which did not prove to be as significant as expected. credit and consumption: a joint model for the UK household sector. Money and Lending: a joint model for the UK household sector. we considered the introduction of a consumption function which helped in making the mechanism even clearer appropriate.2005. Conclusions Even though facing the problem of a small sample and of significant structural break.. Bank of England. (iii) has a positive response to unemployment . 1997. monetary uncertainty and financial innovations. Chrystal. 26. 2005. 1991. A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth. 25. Working Paper No. Choi. 2009. 2004. Oxford Economic Papers 49(2): 188-206. Greiber. C. Mizen. Mizen. 1995. D. Econometrica 59(6): 1551-1580. but after restricting and re-estimating the short run component this problem is no longer present in the SUR estimation. G. Credit and Banking 35(5): 685-709. Results point to a relatively low speed of adjustment -0.12 in the SUR estimation. References Atta-Mensah. the short-run adjustment is slowly producing.1353/mcb. Essex: Prentice Hall Publishing. Bank of Canada. Personal sector money demand in the UK. W. Money demand and economic uncertainty. Using cointegration analysis in econometric modelling.10 in the VECM framework and -0.. doi: 10. 4. an adjustment happens in about 8 to 10 quarters. A. R. 134. K. (ii) inversely by the opportunity cost measured by the interest rate differential but not registering a similar response to variations in the consumption deflator.2307/2938278 ..1353/mcb. doi:10. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. 1. A money demand function with output uncertainty.due to the precautionary component (fact enforced by the negative reaction of households' consumption to unemployment evolution suggesting the repositioning from transactions holdings to precautionary). Working Paper No. Deutsche Bundesbank Harris. but consumer confidence in the long-run equation has the ability of positively influencing money holdings. W. (iv) uncertainty has no influence on the short run. A low speed of adjustment is nevertheless typical for studies regarding money demand (Seitz. doi:10.2003. Discussion Paper No.Technological and Economic Development of Economy. P 2005.0002 Drake. Beyer. Besides the traditional factors. P 2001.

The Review of Economics and Statistics 76(1): 196-202. Tin.16 0.00 0.1016/j. Economics Letters 99: 204-205. Landesberger. An empirical examination of the inventory-theoretic model of precautionary money demand. October 2005:57-73 Sectoral money holding: determinants and recent developments. Ruxanda.74 -1. Working Paper No.. Oxford: Oxford University Press. The demand for M4: a sectoral analysis.97 0.09 0. 2000.1111/1368-423X.22 -2.00 0.1016/j. Linear Trend Constant Constant Constant Constant Constant. 2008. Working Paper No. ADF Unit root test Variable LM2DEFL D(LM2DEFL) LWAGEDEFL D(LWAGEDEFL) DDEFL D(DDEFL) I D(I) UNEMPLOYMENT D(UNEM PLOYMENT) CONS CONF D(CONS_CONF) Exogenous Constant.30 -0. Econometric Journal 3:162-176. Linear Trend Constant. Evidence from..00 0. Sectoral money demand models for the euro area based on a common set of determinants. 2007. 1997. Sectoral money demand: a co-integration approach. 1994.001 Pétursson. Linear Trend Constant Constant t-statistic 0. The cointegrated VAR model: methodology and applications. Household money demand in Romania.jmoneco. J. K.econlet. doi: 10. Linear Trend Constant.. T. 2009. ECB Monthly Bulletin.00044 Seitz. A. F. Muraru. Money Demand and Uncertainty. A. Bank of England. ). C.2307/2109839 Juselius.029 Thomas.39 0.98 -6.2008. Jain. Technological change and the households' demand for currency. Lippi.54 0.06. European Central Bank. Secchi.45 -4. doi:10.73 -1. Appendix 1. 2010.00 0. An explorative investigation.392 Gh. doi:10.45 Prob 1.52 -5. Moon. Linear Trend Constant. ECB Monthly Bulletin. Linear Trend Constant.00 0.58 -5. European Central Bank.2007.75 -2. 62. The representative household's demand for money in a cointegrated VAR model. Landesberger.69 -8.00 0. Working Paper't<io. doi:10. F. August 2006: 59-72. J. R.-G.. Household money holdings in the euro area.00 .77 -7. P. 2006. Journal of Monetary Economics 56: 222-230. 741. 1238.11..

123151 0 095439 Mean dependent var S D dependentvar Akaike jnfo critenon Schwarz criterion Hannan-Quinn enter.942664 2630831 Prob 0.0000 0.3457 0.966695 -9126435 00102 0. GARCH estimation of uncertainty components DependentVarlable R0BOR3M Method M L . Error 0012411 0 019465 0114910 z-Statistic 8933066 -7024369 4603906 Prob 0.0046 Vanance Equation C RESID(-1)''2 GARCH(-1) GARCH(-2) R-squared Adiusted R-sc)uared S E of regression Sum squared resid Log likelihood F-stalistic Prob(F-statistic) Inverted AR Roots Inverted t«lA Roots 0.670115 -0. 2011.17(2): 382-396 Appendix 2. ofreöression Sum squared resid Log likelihood Durbln-Watson stat Inverted AR Roots Inverted fMA Roots 12 47680 •0.0000 0.0000 3625443 0 576731 -1 259676 -0 925220 -1 137622 2 168370 Mean dependentvar S D dependentvar Akaii<e info critanon Scnwarz crittanon Hannan-Ouinn enter Durbin-Wats on stat 13 .7) OARCH = C(5) • C(6)-RESID(-1)''2 • C(7)*0ARCH(-1) • C(6)*GARCH(-2) Variable C AR(1) AR(2) MA(1) CoetTiclent 4 266198 1 044210 -0121760 0 273654 Std.97 •55 -59 DependentVarlabie RON_EURO Mettiod ML-ARCH Date 01/22/11 Time 20 57 Sample (adiusted).029778 1 773912 -2409533 24.029790 0.139278 0.129136 0.7) GARCH= C(4) • C<5)-RE3ID(-1)''2 • C<6rGARCH(-1) Variable CoetDcient t 108711 -0 136726 0552007 Std.615108 221 4019 -9360167 2 219551 Variance Equation 2. 01/22ni Time 20 4B Sample (adjusted) 200004 201003 Included observations 40 after adiustments Convergence achieved after 33 iterations MABacKcast 20OOQ3 Presample variance backcast (parameter = OT) OARCH = CC6) * C(7rRESiD(-1>''2 * C(8)*GARCH(-1) Variable Coefficient 10 33794 09S0295 0.0000 0.0006 0.505482 2 124697 -1007937 -8.952859 Std Error 0 045117 0105893 0 216614 0116119 0 038619 z-Statisac 2291338 8.136166 0. Error 0225843 0.968740 0964274 2.98750 6.3237 0 0000 18 69122 13 30652 4 858618 6 109385 4 949933 RESiD(-1)«2 GARCH<-1) R-squared Adjusted R-squared SE of regression Sum squared restd Log Ilkeithood F-statlstic Prob(F-statistic) Inverted AR Roots Inverted MA Roots 0000142 0 400307 0 714095 o 994B34 0 993704 0 011605 0 004310 131 6717 880 357G 0 000000 94 •95 4 47E-05 0 2023B4 0 205735 3168943 1 97B935 -3 470941 00015 0 0478 0 0005 1019163 0 146253 -6 183587 -5 845811 -6 061468 2 043904 4ass34e 0.008498 0.2000Q2 Presamplevariance backcast (parameters 0.293561 -0573473 -0 794663 0950022 0939420 0142443 0 669669 33 62130 69 61238 0 000000 91 -27 0.0761 0.096669 z-Statlstic 18. Mean dependentvar S D dependentvar Akaike info criterion Schwarz cnterion Hannan-Oulnn enter Durbln-Watson stat 50 .0000 00000 00000 DependBfit Variable: LOOCODP) Method ML-ARCM Date. 200003 2010O3 Included observations 41 after adiustments Convergence achieved aner 38 iterations MABackcast.764956 -0.0336 00000 0.Technological and Economic Development of Economy. 2000Q3 2010Û3 Included observations 41 after adjustments Failure to improve Ukellhood after 75 iterations MABackcast 200002 Presample variance backcast (parameter = 0.DOOO III Variance Equation C RESID(-1)'<2 0ARCH(-1) R-squared Adjusted R-squared SE.A R C H Date 01Í22/11 Tims 2 0 5 2 Sample (adjusted).67317 393 AR(1) AR (2) AR(3) MA(1) c 0 0000 0.279792 0.0160 O.164684 0.384256 -0.121537 -0 871016 0.066696 0 129439 3.

53094 44.617301 0.003843 0 321833 -0.03947] -0.93818 0 2568 0 1934 0 5975 0.30039] -0 009148 (016336) 1-005600] -0596637 (0.513076 (0.06332) 1-1.5788) 10.001143 (0.09563) 13.55999 56.28129) 1-2. Residuals tests VEC Residual Serial Correlation LM Test Component 1 2 3 4 S Bkewness 0 0S84Be -0.578214 (24.0196) 10. Household money demand in Romania.92154] -0.489670 30 34660 t« Prob 0.29616) 1-2.06077) 1-0.16136] 8.869247 (060427) 1-1.681324 (1 04050) 1-0. VECM Estimation Error Correction: CointEql D(LM2DEFL) -0103076 (0.43551] -0. 03640 Appendix 4.185231 0.307959 (016885) 1-1.394 Gh.00000) |NA| -0.61497] 0 419241 (0.136539 (0.8883 df 644 Component t 2 3 4 5 6 7 J a rque-Bera 5.214881 CointEq2 D(LM2DEFL(-1)) D(LC0NS(-1)) D(LWA0EDEFL(-1)) D(l(-1)) D(UNEMPL0Y»ilENT(-1)) D(0DEFL(-1)) 0(C0NS_C0NF(-1)) .38704 (29.9372) 10.07676] D(LOONS) 0.5696) 10.412432 (0.415252 (0.004071 (0.9052 0 9153 Lags 1 Prob S5 03908 57 33946 45.001076 (0.30835] -0.201970 (0 25513) 1-0.07274 (23.62298] -9.00208] 0.463171 -0. Cross Terms Joint test: Chi-sq 665.20728] -0.7824 0.081091 19.00229) 1022484] -0.149961 D(UNEMPL 0.981821 D(LWAOED.76862] 0.27227] 0.13926] -30.267020 (010125) 12.000515 (0.64663 (207322) ^2.7853) 10.2143 0. Comparison Table 1.4508 0.9926 0 4370 0. 0 017821 (0 09621) 10.65481] -4.846671 16.397531 0.6385 e 7 Joint 2 3 4 5 6 Con-iponent 1 2 3 4 5 6 7 Joint Kurtosis 029369 903028 267000 481195 .663203 039001 9B39B9 J 823043 562195 Î 382766 1503645 Prob 0.280511 0 503331 0-1143S2 0.06318) H .40571] -0.048392 (0.10508) 10.028261 0098325 (0.000310 (0.00141) 1-0.12107] -57.004504 (0.17848) 1-2.43852] -0.223605 (0.022020 (10. Muraru.003543 (0.000292 (0.207311 (47 5178) 1-0.14816) 10..92655] 0.460541 -0 201523 (0. Ruxanda.5362) 1-0.2S7515 0924S3 245397 Chl-sq 5.125614 (0.79165] 6.24542] -0.7467 0 021 2 0 0341 Probs from chl-square with 49 df 7 0..26002) 1-0.69233] -0.61 E-05 0 604196 0.63715] -0.66332B 7 Q3S915 4.35792] -0.002353 (0 00133) 1-1.106909 (0 21695) 1-049277] -0.95098 49.00066) 1-1619911 27 77164 (44.65433] 0001908 (0 00062) 13.24274) 1-0.21280 (121694) 1-5.01 73 0 0080 0 0364 0 0666 0.22577) 10.00242) H.326561 0.193771 8213107 (97 0051) 10.22207] -0.459004 1 477830 0.26413) 13.38368 (98.00058) 11.48161 (118 352) 10.1608) 1-0.076279 0 014175 2 651525 df Prob 0 BB77 0.8038) 10.626886 (0 26058) 1-2.90686] -0.20556) 12.664994 (0.62778] 0000000 (0.78053] -0 010047 (0 06700) 1-0.91148] D(DDEFtí: 0375480 (0.00162) 10.730301 (18.00279) [1. Evidence from.24782) 1-0.823871 0 001400 (0 00055) 12 56645] DD ( -6157049 (117232) 1-525201] -72.897377 (0.775021 0.0SB3 0 0296 0 0827 0 1479 0 4533 0067B 0 1052 Prob.000000 (0.0493S6 Chl-sq 0 0199S5 8.80187] 18.31724) 11.19190) 1-2. A.002039 (266386) 10.0001 VEC Residual Heteroskedasticity Test: No. Appendix 3.00151) 1-2.1497 (31 9956) 13.379794 3 364039 0104364 5 3Û64B7 4.63361] -6.933951 -14 61858 (262246) 1-055744] 101.399033 (766886) ^0057361 -0053253 (0.061170 (027545) 1-0.4981 0 2241 0.00000) INA] -0.22933) 1-1.19137] 0.79841] -0.886855 (10.135983 (0 21358) 1-063668] -0.055386 (0.064970 (0.35356] -0509366 (0..000921 (0 00260) 1-0.24657) [-0.51749] -0.

1*LWAGEDEFL(-1) • 0.690240 (0.0055 0.125895 0000388 0000274 0. ¡7(2): 382-396 End of Table 1 Error ctmclon: D(LM2DEFL) D(LCONS) 395 DdWAGED.02237) [2.008571 1190989 -4.325210 -3564900 -4202478 4.0235 0.322760 -0.000110 0.0002 0.125341 -0.216430 DUMM08 -0112136 (0.082189 (0.037871 0023848 Determinant resid covariance (dof adi) Determinant resid covariance Log iikelihood Akaike information critenon Schwarz critenon Table 2.063742 (120223) [0 05302] -0.321891 41.00544) [173936] 0.01 599B3560363*UNEMPLOYiV1ENT(-1) 3.046210 (0.012486 0.49648] 0.34469) [-092975] -0.004930 0 014969 1149143 105.006574 1. 0.00507) [-0.32552) [-4.80E-14 10BE-15 254.07484) [3.655372 0.509751 3.001001 0.680554 -5.25092 1369322 0 310060 -52.004296 0.787363 0.566321 -3.005562 (0 00446) 1-1 24568] 0843541 0759200 0 003326 0012296 9884359 112 4097 -5.368151 (2.656617 0.043533 0.85734] 10 28832] -7 758463 (8.109624 -0.0163 0.001550 (0 00064) [240622] -0.624267 -0.4676 -5.529071 0 001923 0003320 -0.333510 -0003570 -0.879231 -3964970 -2.157446 0.11959 -8.02542] 0.417891 107 9309 -5.501128 -2 473124 2.862412 0.53854 3.61E-08 t-Statistic -2.91645] -0.00337694953936'CONS_CONFC-1)0.068630 (0 067B8) [-101100] 2732458 (204609) [133545] 0111794 (0 49722) [0 22484] 0144658 -0.0000 00009 0.01227) [0.05561] -2 987085 (2.467393 5014568 1.143432 0.0263811 6861 79*@TREND(00Q1).5371 7390802*DDEFU-1) .202535 (4 90312) [-0 85711] 0079822 (0.068197 Determinant residual covariance Equation: D(LM2DEFL) = C(1)'( LM2DEFL(-1).074419 (0.85838] 0 791333 0677514 0 003717 0 012997 6 952585 110.23188] 0004051 (0.957960 12.9106 -8.0.00472) [0.486407 -55.003563 (0.06590] 0.569576 -4.745060 4.709357 -0 001693 0 032463 D(CONS_C.0105 00000 00000 C«> om cm C<9) C(11) C(12) C(15) C(21) C(22) C(24) C(25) -0.009454 (0.0000 0.C(5)*D(LWAGEDEFL(-1)) • C(6)*D(i(-1)) * C(8) *D(DDEFL(-1)) • C(9)'D(C0NS_C0NF(-1)) * C(11)*@TREND(0OQ1) C(12)*DUMM08 .149571 2068720 0.013974 6.991875 0015822 0 022888 2. SUR Estimation System: ECM Estimaiion Method: Seemingly Unrelateci Regression Date: 02/07/11 Time: 23:36 Sample: 2001Q4 2010Q3 included observations: 36 Total system (balanced) observations 72 Linear estimation after one-step weiginting matrix Coefficient C<1) C{4> Std Error 0.25593) [-132410] 0.039806 0066441 0. 0.017117 (0 01080) [158557] 0 001496 (0 00061) [ 2 45344] -0.287058 -4.Technological and Economic Development of Economy 2011.003365 (0.134147 -1 180000 6.228697 (0.95557 3.00069) [4.102853 0017737 0025005 D(i) D(ÜNEMPL„ oaxm -0 012045 (0.139366 -0.54821) [1 25908] 0.29044] 0002672 (0.5235 -5.02783) [-018155] 0 477793 0192954 6861251 5 584577 1677410 -101 7378 6.0007 0.556446 7.424622 -4 846922 0.000761 (0 00074) [-1.164317 0000938 0 001320 -0.900277 -5 960194 (1.606935610289) •^ C(4) 'D(LC0NS(-1)) .779920 -3.71085] R-squared Adj R-squared Sum sq.01314) [-0.940318 4.0. resids SE equation F-statistic Log likelihood Aksike AiC Schwarz SC Mean dependent S D dependent 0 777811 0.23415] 0. c 0.518019 0.642886 11 97677 -10 37390 Prob.01942) [-4.000355 0.01141) [0.0G796646679368*i(-1) .27685) @TREND(00Q1) 0.01837) [-405045] -0.02088) [-537020] UNCERTANTY -0003607 (0.0001 00000 0.0.

E of regression Durbin-Watson stat 0 792023 0. microeconomics.001 57610382946''CONS_CONF(-1)0. dependent var 0. Multidimensional Data Analysis (Master Studies). analysis and prediction in the economic field.036282 0. Reikiminiai zodziai: kointegruoti autoregresiniai vektoriai. pattern recognition and neural networks. econometrics and statistical-mathematical modeling in the economic-financial field.015114 0. Ruxanda.. Dallas. Statistics and Informatics. atvirkátiné priklausomybé. dependent var Sum squared resid 0. Bucharest (1975) where he also earned his Doctor's Degree (1994). is Full Professor and PbD Adviser witbin tbe Department of Economic Cybernetics. pinigij poreikis namij ûkiuose. scientific informatics. France (2000). USA (1999). USA (2002). graduated the Faculty of Economics. Had numerous research visits in Columbia University . Nustatyti veiksniai. New York.012239 Sum squared resid 0004644 S. 48 scientific papers presented at national and international scientific sessions and symposia.1 31 484284684 ) * C(21) *D(DDEFL(-1)> •• C(22rD(CONS_CONF(-1)) + C(24)*@TREND(00Q1) + C(25)*DUMMG8 Observations: 36 0. 15 manuals and university courses in the field of econometrics. 31 studies of national public interest developed within the scientific research projects.Thompson Reuters journals.D. Paris. Scientific research activity: involvement in one research project with national financing.568627985797 *LWAGEDEFL(-1) + 0. England (2002). out of which seven papers being published in ISI .School of Business.003001971 62G86'UNEMPLOYMENT(-1) * 1 16289832827*DDEFL(-1) + 0. naudodami kointegruotus autoregresinius vektorius.025364 0 004683 Equatloti: D(LCONS) = C(1 5 r ( LC0NS(-1) .022954 Adjusted R-squared 0. Texas.0. tyré pinigi} poreikio pokyäus nami4 ükiuose. Andreea MURARU is PhD candidate in Economic Cybernetics at the Bucharest Academy of Economic Studies. Reading University. measurement. He graduated from the Faculty of Economic Cybernetics. 69 scientific papers publisbed in prestigious national and international journals in the field of economic cybernetics.343617 Mean depetidentvar S. Faculty of Computer Science and Engineering. Autoriai. scientific informatics. A. Modeling and Neural Calculation (Master Studies). taip pat identifikuoti nereikSmingi. Tyrimuose buvo naudojami tiek tradiciniai. He is full professor of Multidimensional Data Analysis (Doctoral School). Muraru Santrauka. Evidence from.401081 PINIGV POREIKIO RUMUNIJOS NAMy ÜKIUOSE TYRIMAS NAUDOJANT KOINTEGRUOTUS AUTOREGRESINIUS VEKTORIUS G. North Carolina University. multidimensional data analysis. multidimensional statistics and multidimensional data analysis. econometrics. Fields ofScientific Interest: econometrics and macroeconometrics. A.0035720980905*igTREND(00Q1) .D. End of Table 2 Observations: 36 R-squared Adiusted R-squared S. Thessaloniki. The Bucharest Academy of Economic Studies.715704 S. Academy of Economic Studies. Gheorghe RUXANDA. quantification. Chapel Hill. Ruxanda. Ecole Normale Supérieure. Muraru. PhD in Economic Cybernetics. Soutbern Methodist University (SMU). Scientific research activity: over 35 years of scientific research in both theory and practice of quantitative economy and in coordinating research projects. Babeç-Bolyai University in Cluj-Napoca. USA (1999).E.Thompson Reuters journals.396 Gh. multidimensional time series analysis with a focus on cointegrated VAR. majoring Statistics (2005) and was ERASMUS-SOCRATES Student of Aristotle University. seven published papers out of which two articles being published in ISI .748195 Mean dependent var R-squared 0.740029 0 012932 2. . has an MA degree in Finance (2007). macroeconomic modeling. microeconomics. development of software instruments for economic-mathematical modeling. 64 scientific research projects with national and international financing. Fields of Scientific Competence: evaluation. of regression Durb In-Wats on stat 2. kurie turi didziausi^ ¡tak^ nami} ükiams. risk analysis and uncertainty in economics. tiek Siam sektodui bùdingi veiksniai. participant in national and international conferences and symposia. Household money demand in Romania. multidimensional data analysis.

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