Determinants of the Demand for Money in CEE Countries: Updated Evidence

摘要

This article empirically models the relationship between the demand for money and a set of determinants, using the autoregressive distributed lag (ARDL) bounds-testing approach proposed by Pesaran, Shin, and Smith. We test this relationship in a country-specific framework of six Central and East European countries (Bulgaria, Croatia, Czech Republic, Hungary, Poland, and Romania) over the past twenty years. The results confirm the existence of a long-term cointegration relationship between the demand for money and its determinants, except in Bulgaria and Croatia. We identified a significant currency substitution effect in Bulgaria, Croatia, and Hungary, whereas in the Czech Republic, the wealth effect is stronger.