The paper presents an empirical analysis of money demand in Uganda over the period 1986:1-2003:4. Two definition of money were used and tests for co-integration between the monetary aggregates and real money balance were carried out. The empirical results show that income is positively related to money demand while exchange rate, inflation and interest rates have a negative impact on money demand and there is a degree of substitution from non-interest to interest bearing financial assets and holding of foreign currency. the money demand functions remained stables for the entire period, as confirmed by the chow tests.