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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:The demand for money in South Africa: specification and tests for instability
Authors:Tlelima, TankaISNI
Turner, PaulISNI
Year:2004
Periodical:South African Journal of Economics
Volume:72
Issue:1
Pages:25-36
Language:English
Geographic term:South Africa
Subject:money demand
External link:https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2004.tb00102.x/pdf
Abstract:The authors estimate and test a demand function from broad money for the South African economy using quarterly data for the period 1970-2003 and subject their model to tests for the instability of its parameters of interest. The estimates for the whole sample period are economically reasonable and appear to fit the data well with little evidence of dynamic misspecification. However, recursive estimates of the steady-state elasticities with respect to income, the interest rate and the inflation rate indicate that these parameters are not stable through the period. Evidence is found that the income elasticity of money demand has increased significantly through the period as has the sensitivity of money demand to the opportunity cost of holding money balances. In addition to these trend changes in the parameters, step changes associated with economic and political disturbances during the 1990s are also observed. Bibliogr., note. [ASC Leiden abstract]
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