Stabilita dlouhodobe poptavky po siroce definovanych penezich v otevrene ekonomice: pripad CR 1994-2000

This paper strives to enlarge the traditional form of money demand for closed economy with some additional foreign or international determinants. These are, according to presented theory of currency substitution, nominal exchange rate CZK/DEM (or CZK/USD) and yield of foreign assets (3M LIBOR on DEM-assets and Treasury Bill yield) expressed in Czech Crowns. Such specified money demand was estimated using three cointegration methods namely JOH(1), JOH(2) and DOLS to attain sufficient robustness of estimated money demand function. The cointegration procedure assigned the endogeneity only to M2, CPI and Inflation (using CZK/USD and Treasury Bill yield also AE proved to be endogenous), the other variables of money demand seem to be weakly exogenous. As the error-correction term in dynamic equation of inflation is both statistically and economically significant, it could be developed some model of inflation on this basis. The stability of estimated money demand function is not according to applied test disturbed. As both elasticity of AE and that of CPI are close to one, this money demand function could be theoretically based on quantitative theory. Some variables in this money demand specification, however, indicate somewhat lower significance. These are PRIBOR as an opportunity cost of money holding (even though this was slightly expected, no better proxy variable was found) and both foreign determinants. This could be inferred from existing dollarization of the economy or some asymmetry in currency substitution. Both these problems should be objectives of further research.