A Cointegration Analysis of Broad Money Demand in Cameroon

Author/Editor:

Jean-Claude Nachega

Publication Date:

March 1, 2001

Electronic Access:

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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.

Series:

Working Paper No. 2001/026

Subject:

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

English

Publication Date:

March 1, 2001

ISBN/ISSN:

9781451844382/1018-5941

Stock No:

WPIEA0262001

Pages:

39

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