Samreth, Sovannroeun (2008): Estimating Money Demand Function in Cambodia: ARDL Approach.
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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 ; Diffusion Processes ; State Space 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|
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