Title: Money demand during hyperinflation: Cointegration, rational expectations, and the importance of money demand shocks
Abstract: Money demand and price level dynamics are analyzed using data from three hyperinflation episodes which have received relatively little attention in previous literature: China (1946–1949); Hungary (1945–1946); and Yugoslavia-Serbia (1991–1993). The Cagan-models's ability to describe money demand during these hyperinflations is analyzed: Tests of cointegration and rational expectations restrictions are conducted, and explicit measures of the magnitude of money demand shocks are obtained. The results indicate that the Cagan model provides a valid description of money demand during the Chinese and Serbian hyperinflations, but not during the Hungarian hyperinflation. However, in the former two cases money demand shocks account for a substantial part of the variation in real balances.
Publication Year: 1998
Publication Date: 1998-06-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 26
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