Levent, Korap (2007): Testing quantity theory of money for the Turkish economy. Published in: Journal of BRSA Banking and Financial Markets , Vol. 1, No. 2 (2007): pp. 93109.

PDF
MPRA_paper_21704.pdf Download (113Kb)  Preview 
Abstract
In this paper, it is tried to test the main assumptions of the Quantity Theory of Money for the Turkish economy. Using some contemporaneous estimation techniques to examine the longrun stationary economic relationships on which the quantity theory is constructed, it is found that stationary characteristics of the velocitities of narrowly and broadly defined monetary aggregates cannot be rejected. However, monetary aggregates seem to be endogenous for the longrun evoluation of prices and real income. It is concluded that monetary authorities follow an accommodative monetary policy inside the period given the endogeneity of the monetary variables.
Item Type:  MPRA Paper 

Original Title:  Testing quantity theory of money for the Turkish economy 
English Title:  Testing quantity theory of money for the Turkish economy 
Language:  English 
Keywords:  Theory of Money ; Neutrality ; Cointegration ; Turkish Economy ; 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models; Multiple Variables > C32  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E31  Price Level; Inflation; Deflation E  Macroeconomics and Monetary Economics > E6  Macroeconomic Policy, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook > E61  Policy Objectives; Policy Designs and Consistency; Policy Coordination E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E41  Demand for Money 
Item ID:  21704 
Depositing User:  Levent Korap 
Date Deposited:  29. Mar 2010 07:29 
Last Modified:  12. Feb 2013 04:08 
References:  1. Ashra, S., Chattopadhyay, S. and Chaudhuri, K. (2004). Deficit, Money and Price: The Indian Experience, Journal of Policy Modeling, 26, 289299. 2. Bullard, J. (1999). Testing LongRun Monetary Neutrality Propositions: Lessons from the Recent Research, FRB of St. Louis Review, November/December, 5777. 3. Dickey, D.A. and Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, 427431. 4. Doornik, J.A., Hendry, D.F. and Nielsen, B. (1998). Inference in Cointegrating Models: UK M1 Revisited, Journal of Economic Surveys, 12/5, 533572. 5. Dotsey, M. and Hornstein, A. (2003). Should a Monetary Policymaker Look at Money?, Journal of Monetary Economics, 50, 547579. 6. Engle, R. F. and Granger, C. W. J. (1987). Cointegration and Error correction: Representation, Estimation, and Testing, Econometrica, 55, 251276. 7. Estrella, A. and Mishkin, F.S. (1997). Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?, Journal of Monetary Economics, 40, 279304. 8. Fisher, I. (1911). The Purchasing Power of Money, New York, MacMillan Ltd. 9. Fisher, M.E. and Seater, J.J. (1993). LongRun Neutrality and Superneutrality in an ARIMA Framework, American Economic Review, 83, June, 402415. 10. Friedman, M. (1956). The Quantity Theory of Money – A Restatement, Studies in the Quantity Theory of Money, (Ed.) Milton Friedman, The University of Chicago Press, 321. 11. Geweke, J. (1986). The Superneutrality of Money in the United States: An Interpretation of the Evidence, Econometrica, 54/1, January, 121. 12. Gonzalo, J. (1994). Five Alternative Methods of Estimating LongRun Equilibrium Relationships, Journal of Econometrics, 60, 203233. 13. Granger, C. W. J. (1986). Developments in the Study of Cointegrated Economic Variables, Oxford Bulletin of Economics and Statistics, 48/3, 213228. 14. Granger, C.W.J. and Newbold, P. (1974). Spurious Regressions in Economics, Journal of Econometrics, 2/2, 111120. 15. Grauwe, P.D. and Polan, M. (2005). Is Inflation Always and Everywhere a Monetary Phenomenon?, Scand. J. of Economics, 107/2, 239259. 16. Hafer, R.W. and Kutan, A.M. (1994). Economic Reforms and LongRun Money Demand in China: Implications for Monetary Policy, Southern Economic Journal, 60/4, April, 936945. 17. Harris, R.I.D. (1995). Using Cointegration Analysis in Econometric Modelling, Prentice Hall. 18. Herwartz, H. and Reimers, H.E. (2006). LongRun Links among Money, Prices and Output: Worldwide Evidence, German Economic Review, 7, 6586. 19. Hume, D. (1970). Of Money, Writings on Economics, Eugene Rotwein (ed.), University of Wisconsin Press. Reprinted in selected essays from Political Discourses, 1752. 20. Johansen, S. (1988). Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12, 231254. 21. Johansen, S. (1992). Determination of Cointegration Rank in the Presence of a Linear Trend, Oxford Bulletin of Economics and Statistics, 54/3, 383397. 22. Johansen, S. (1995). Likelihoodbased Inference in Cointegrated Vector Autoregressive Models, Oxford University Press. 23. Johansen, S. and Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegrationwith Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, pp.169210. 24. Karfakis, C. (2002). Testing the Quantity Theory of Money in Greece, Applied Economics, 34, 583587. 25. Karfakis, C. (2004). Testing the Quantity Theory of Money in Greece: Reply to Ozmen, Applied Economics Letters, 11, 541543. 26. King, R.G. and Watson, M.W. (1997). Testing LongRun Neutrality, FRB of Richmond Economic Quarterly, 83/3, 69101. 27. Koustas, Z.N. (1998). Canadian Evidence on LongRun Neutrality Propositions, Journal of Macroeconomics, 20/2, Spring, 397411. 28. Lucas, R.E. Jr. (1980). Two Illustrations of the Quantity Theory of Money, American Economic Review, 70/5, Dec., 10051014. 29. Lütkepohl, H. (1991). Introduction to Multiple Time Series Analysis, New York: SpringerVerlag. 30. MacKinnon, J.G. (1996). Numerical Distribution Functions for Unit Root and Cointegration Tests, Journal of Applied Econometrics, 11, 601618. 31. Mahadeva, L. and Robinson, P. (2004), Unit Root Testing to Help Model Building, Handbooks in Central Banking, (Eds.) Andrew Blake and Gill Hammond, Centre for Central Banking Studies, Bank of England, No. 22, July. 32. Nelson, C. and Plosser, C. (1982). Trend and Random Walks in Macroeconomic Time Series: Some Evidence and Implications, Journal of Monetary Economics, 10, 130 162. 33. OsterwaldLenum, M. (1992). A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics, Oxford Bulletin of Economics and Statistics, 54, 461472. 34. Ozmen, E. (2003). Testing the Quantity Theory of Money in Greece, Applied Economics Letters, 10, 971974. 35. Serletis, A. and Krause, D. (1996). Empirical Evidence on the LongRun Neutrality Hypothesis Using LowFrequency International Data, Economics Letters, 50, 323327. 36. Serletis, A. and Koustas, Z. (1998). International Evidence on the Neutrality of Money, Journal of Money, Credit and Banking, 30/1, Feb., 125. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/21704 