A Nonlinear Specification of Demand for Narrow Money in Colombia

Serie

• Borradores de economía

Resumen

• A nonlinear smooth transition regression (STR) model of the demand for narrow money in Colombia is specified using monthly data for cash, prices, the scale variable (industrial GDP), the interest rate and the rate of depreciation, within the single equation framework allowed by the data. In comparison with linear error correction model, the nonlinear specification is highly superior according to the statistics. The dynamics described by this model matches both the magnitudes and the behavior of the aggregate demand for narrow money in Colombia during the sample period (1980.5-1998.11).

autores

• Arango Thomas, Luis Eduardo
• González-Gómez, Andrés

fecha de publicación

• 1999-10

Área temática

• C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
• C52 - Evaluación, contraste y selección de modelos
• E41 - Demanda de dinero

Enfoque geográfico

• Colombia  Country
• South America  Continent

Líneas de investigación

• Buffer Stocks
• Demand for Money
• Error Correction
• Nonlinearity
• Smooth Transition
• Target-Bounds

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/be.135

Issue

• 135