A Cointegration Analysis of Broad Money Demand in Cameroon

March 1, 2001

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Format: Chicago

Jean-Claude Nachega. A Cointegration Analysis of Broad Money Demand in Cameroon, (USA: International Monetary Fund, 2001) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Currencies, Demand for money, Income, Inflation, Monetary base, Money, National accounts, Prices

Keywords: Broad money, Broad money velocity, Cameroon, CFA franc, Cointegration, Correlation coefficient, Currencies, Demand for money, Demand function, Depreciation rate, Fixed exchange rate, Function exhibit, Income, Income elasticity, Inflation, Interest rate differential, Monetary base, Money demand, Opportunity cost, Rate of inflation, Sub-Saharan Africa, West Africa, WP

Publication Details

Pages:

39
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2001/026
Stock No:

WPIEA0262001
ISBN:

9781451844382
ISSN:

1018-5941

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