Levent, Korap (2008): Modeling Turkish M2 broad money demand: a portfolio-based approach using implications for monetary policy. Published in: Selçuk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Sosyal ve Ekonomik Araştırmalar Dergisi , Vol. 9, No. 15 (2008): pp. 1-13.
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In this paper, a money demand model upon M2 broad monetary aggregate for the Turkish economy is examined in a portfolio-based approach considering various alternative cost measures to hold money. Employing multivariate co-integration methodology of the same order integrated variables, our estimation results indicate that there exists a theoretically plausible co-integrating vector in the long-run money demand variable space. The main alternative costs to demand for money are found as the depreciation rate of domestic currency and the course of equity prices, for which the former brings out the importance of currency substitution phenomenon settled in the economy. Besides, we find that domestic inflation carries a weakly exogenous characteristic and conclude that the main factors leading to the domestic inflation are determined out of the money demand variable space.
|Item Type:||MPRA Paper|
|Original Title:||Modeling Turkish M2 broad money demand: a portfolio-based approach using implications for monetary policy|
|English Title:||Modeling Turkish M2 broad money demand: a portfolio-based approach using implications for monetary policy|
|Keywords:||Broad money ; co-integration ; currency substitution ; 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 ; Diffusion Processes ; State Space Models
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E41 - Demand for Money
|Depositing User:||Levent Korap|
|Date Deposited:||05. Jan 2010 11:40|
|Last Modified:||12. Feb 2013 17:01|
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