Samreth, Sovannroeun (2008): Estimating Money Demand Function in Cambodia: ARDL Approach.
Download (184Kb) | Preview
This paper empirically estimates the money demand function in Cambodia. We adopt the money demand model that includes exchange rate. For the analysis, Autoregressive Distributed Lag (ARDL) approach to cointegration is employed. Our results indicate that there is cointegration among variables in money demand function. CUSUM and CUSUMSQ tests roughly support the stability of estimated model. However, in the long-run, even the sign of estimated coefficient of exchange rate support the currency substitution phenomenon in Cambodia, it fails t-test. This may be due to the mix of both currency substitution and wealth effects in the long-run.
|Item Type:||MPRA Paper|
|Original Title:||Estimating Money Demand Function in Cambodia: ARDL Approach|
|Keywords:||Money Demand, M1, Cambodia, Currency Substitution|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E50 - General
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E41 - Demand for Money
|Depositing User:||Sovannroeun Samreth|
|Date Deposited:||15. Jul 2009 13:43|
|Last Modified:||12. Feb 2013 02:41|
Akinlo, A. E. (2006) “The Stability of Money Demand in Nigeria: An Autoregressive Distributed Lag Approach” Journal of Policy Modeling 28, 445-452.
Arango, S., and M. I. Nadiri (1981) “Demand for Money in Open Economies” Journal of Monetary Economics 7, 69-83.
Arize, A. C., J. Malindretos, and S. S. Shwiff (1999) “Structural Breaks, Cointegration, and Speed of Adjustment Evidence from 12 LDCs Money Demand” International Review of Economics & Finance 8, 399-420.
Bahmani-Oskooee, M. (1996) "The Black Market Exchange Rate and Demand for Money in Iran" Journal of Macroeconomics 18, 171-176.
Bahmani-Oskooee, M., and A. Tanku (2006) “Black Market Exchange Rate, Currency Substitution and the Demand for Money in LDCs Economic Systems 30, 249-263.
Bahmani-Oskooee, M., and A. Techaratanachai (2001) “Currency Substitution in Thailand” Journal of Policy Modeling 23, 141-145.
Bohl, M. T. (2000) “Nonstationary Stochastic Seasonality and the German M2 Money Demand Function” European Economic Review 44, 61-70.
Brown, R. L., J. Durbin, and J. M. Evans (1975) “Techniques for Testing the Constancy of Regression Relationships over Time” Journal of the Royal Statistical Society. Series B (Methodological) 37, 149-192.
Budina, N., W. Maliszewski, G. de Menil, and G. Turlea (2006) “Money, Inflation and Output in Romania, 1992-2000” Journal of International Money and Finance 25, 330-347.
Chaisrisawatsuk, S., S. C. Sharma, and A. R. Chowdhury (2004) “Money Demand Stability under Currency Substitution: Some Recent Evidence” Applied Financial Economics 14, 19-27.
Chow, G. C. (1966) "On the Long-Run and Short-Run Demand for Money" The Journal of Political Economy 74, 111-131.
Darrat, A. F., and A. Al-Mutawa (1996) “Modelling Money Demand in the United Arab Emirates” The Quarterly Review of Economics and Finance 36, 65-87.
Engle, R. F., and C. W. J. Granger (1987) “Co-Integration and Error Correction: Representation, Estimation, and Testing” Econometrica 55, 251-276.
Goldfeld, S. M., J. Duesenberry, and W. Poole (1973) “The Demand for Money Revisited” Brookings Papers on Economic Activity 1973, 577-646.
Hoffman, D. L., R. H. Rasche, and M. A. Tieslau (1995) “The Stability of Long-Run Money Demand in Five Industrial Countries” Journal of Monetary Economics 35, 317-339.
Johansen, S. (1992) “Testing Weak Exogeneity and the Order of Cointegration in Uk Money Demand Data” Journal of Policy Modeling 14, 313-334.
Johansen, S., and K. Juselius (1990) “Maximum Likelihood Estimation and Inference on Cointegration--with Applications to the Demand for Money” Oxford Bulletin of Economics & Statistics 52, 169-210.
Kang, K. (2005) “Is Dollarization Good for Cambodia?” Global Economic Review 34, 201-211.
McNown, R., and M. S. Wallace (1992) “Cointegration Tests of a Long-Run Relation between Money Demand and the Effective Exchange Rate” Journal of International Money and Finance 11, 107-114.
Mundell, A. R. (1963) “Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rate” Canadian Journal of Economics and Political Science 29, 475-485.
Oomes, N., and F. Ohnsorge (2005) “Money Demand and Inflation in Dollarized Economies: The Case of Russia” Journal of Comparative Economics 33, 462-483.
Pesaran, M. H., and B. Pesaran (1997) Microfit 4.0 (Window Version), Oxford University Press.
Pesaran, M. H., Y. Shin, and R. J. Smith (1996) “Bounds Testing Approaches to the Analysis of Level Relationships” DEA Working Paper 9622, Department of Applied Economics, University of Cambridge.
Pesaran, M. H., Y. Shin, and R. J. Smith (2001) “Bounds Testing Approaches to the Analysis of Level Relationships” Journal of Applied Econometrics 16, 289-326.
Samreth, S. (2008) “Currency Substitution and Seigniorage-Maximizing Inflation: The Case of Cambodia” Applied Economics, forthcoming. (URL: http://dx.doi.org/10.1080/00036840701749035)
Weliwita, A., and E. M. Ekanayake (1998) “Demand for Money in Sri Lanka during the Post-1977 Period: A Cointegration and Error Correction Analysis” Applied Economics 30, 1219-1229.
Zamaróczy, D. M., and S. Sa (2002) “Macroeconomic Adjustment in a Highly Dollarized Economy: The Case of Cambodia” IMF Working Paper 02/92, International Monetary Fund, New York.