Korap, Levent (2008): Determinants of reserve money demand: a multivariate co-integrating approach. Published in: Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi , Vol. 1, No. 2 (2008): pp. 33-42.
Download (156Kb) | Preview
In this paper, a reserve money demand model is constructed for the Turkish economy. Base on the contemporaneous multivariate co-integration estimation methodology, our findings indicate that the main alternative costs to hold reserve money balances in hand are the expected exchange rate depreciation representing ongoing currency substitution phenomenon in the economy and the equity prices. The semi-elasticity of domestic inflation reveals high degree of substitutability between real monetary balances and durable commodities. Furthermore, there exists evidence in favor of the effects of financial development on the money demand function in the sense that diversification of financial tools held in hand against demand for money balances is a necessary condition for the determination of long-run course of the monetary policy.
|Item Type:||MPRA Paper|
|Original Title:||Determinants of reserve money demand: a multivariate co-integrating approach|
|English Title:||Determinants of reserve money demand: a multivariate co-integrating approach|
|Keywords:||Reserve Money Demand; Co-integration; Turkish economy;|
|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 > E4 - Money and Interest Rates > E41 - Demand for Money
|Depositing User:||Levent Korap|
|Date Deposited:||28. Sep 2010 20:36|
|Last Modified:||12. Feb 2013 19:57|
Bahmani-Oskooee, M. & Karacal, M. (2006). “The Demand for Money in Turkey and Currency Substitution”, Applied Economics Letters, 13, pp: 635-42.
Baydur, C.M. and Süslü, B. (2002). “1990’lı Yıllarda Türkiye’de Para Politikası Uygulamasında Çapalar”, IMKB Dergisi, 6/21, pp: 37-85.
Choudhry, T. (1995). “High Inflation Rates and the Long-Run Money Demand Function: Evidence from Cointegration Tests”, Journal of Macroeconomics, 17/1, pp. 77-91.
Civcir, I. (2003). “Broad Money Demand, Financial Liberalization and Currency Substitution in Turkey”, Journal of Economic Studies, 30/5, pp: 514-34.
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, pp: 427-31.
Ertuğrul, A. and Selçuk, F. (2002). “Turkish Economy: 1980-2001”, Inflation and Disinflation in Turkey, (Eds. A. Kibritçioğlu, F. Selçuk and L. Rittenberg), Ashgate Pub. Ltd., pp: 13-40.
Goldfajn, I. and Valdes, R.O. (1999). “The Aftermath of Appreciations”, Quarterly Journal of Economics, 114/1, pp: 229-62.
Gonzalo, J. (1994). “Five Alternative Methods of Estimating Long-Run Equilibrium Relationships”, Journal of Econometrics, 60, pp: 203-33.
Granger, C.W.J. and Newbold, P. (1974). “Spurious Regressions in Economics”, Journal of Econometrics, 2/2, pp: 111-20.
Hafer, R.W. and Kutan, A.M. (1994). “Economic Reforms and Long-Run Money Demand in China: Implications for Monetary Policy”, Southern Economic Journal, 60/4, pp: 936-45.
Harris, R.I.D. (1995). Using Cointegration Analysis in Econometric Modelling, 1. Ed., Prentice Hall.
Johansen, S. (1988). “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12, pp: 231-54.
Johansen, S. (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press.
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992). “Testing the Null Hypothesis of Stationary against the Alternative of a Unit Root”, Journal of Econometrics, 54, pp: 159-78.
Lütkepohl, H. (1991), Introduction to Multiple Time Series Analysis, Springer-Verlag, New York.
Mahadeva, L. and Robinson, P. (2004). “Unit Root Testing to Help Model Building”, Handbooks in Central Banking, (Ed. A. Blake ve G. Hammond), Centre for Central Banking Studies, Bank of England, No. 22, July.
Osterwald-Lenum, 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, pp: 461-72.
Yavuz, N.Ç. (2004). “Durağanlığın Belirlenmesinde KPSS ve ADF Testleri: İMKB Ulusal Endeksi ile Bir Uygulama”, İstanbul Üniversitesi İktisat Fakültesi Mecmuası, 54/1, pp: 239-47.