The monetary sector in Cameroon money demand and causality analysis

Mbeleke, PW

Abstract

This thesis investigates the monetary sector in Cameroon
within an open economy framework. Two main hypotheses: money
demand and Granger-causality are investigated.
The data used are found to be non-stationary. Consequently,
the money demand relationship is tested for the null hypothesis
that it is spurious or not co-integrated. This is rejected in all
the models put forward. The models are estimated and found to
exhibit elasticities that are not unusual. Price homogeneity is
found to be data incompatible. Income elasticities are generally
found to be significantly less than unity suggesting economies
of scale in money holdings.
Corresponding dynamic models in the form of error correction
are constructed using the familiar general to specific
methodology and generally found to exhibit desirable statistical
properties. Model preference is in terms of the narrow Ml
definition of money with explanatory variables which include a
foreign interest rate.
For Granger-causality, the non-stationary data are
transformed into stationarity where the null hypothesis of noncausality
is tested in bivariate and multivariate contexts. Lag
length selection is by the Final Prediction Error statistic.
Results are mixed but two appear striking: domestic money and
prices are found to be independent while domestic prices are
Granger-caused by foreign variables but not by domestic ones.

Citation

Mbeleke, P. The monetary sector in Cameroon money demand and causality analysis. (Thesis). Salford : University of Salford

• Thesis Type: Thesis
• Deposit Date: Oct 3, 2012
• Award Date: Jan 1, 1997