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Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model

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  • Mohsen Bahmani-Oskooee

    (Department of Economics, University of Wisconsin-Milwaukee, U.S.A.)

  • Raymond Chi Wing Ng

    (Centre for Asian Pacific Studies, Lingnan University, Hong Kong)

Abstract

We examine the long-run demand for money of Hong Kong using the autoregressive distributed lag (ARDL) cointegration procedure on quarterly data over the period 1985Q1-1999Q4. Estimation results suggest that HK$M2 is cointegrated with its determinants. In addition, the CUSUM and CUSUMSQ tests confirm the stability of the money demand function.

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Bibliographic Info

Article provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.

Volume (Year): 1 (2002)
Issue (Month): 2 (August)
Pages: 147-155

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Handle: RePEc:ijb:journl:v:1:y:2002:i:2:p:147-155

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Related research

Keywords: money demand; Hong Kong; cointegration; error correction model; CUSUM test;

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References

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  1. Pesaran, M. Hashem & Shin, Y. & Smith, R.J., 1999. "Bounds Testing Approaches to the Analysis of Long-run Relationships," Cambridge Working Papers in Economics 9907, Faculty of Economics, University of Cambridge.
  2. repec:fth:inseep:9645 is not listed on IDEAS
  3. Marquez, Jaime, 1987. "Money demand in open economies: A currency substitution model for Venezuela," Journal of International Money and Finance, Elsevier, Elsevier, vol. 6(2), pages 167-178, June.
  4. Pesaran, M. H. & Shin, Y. & Smith, R. J., 1996. "Testing for the 'Existence of a Long-run Relationship'," Cambridge Working Papers in Economics 9622, Faculty of Economics, University of Cambridge.
  5. Bahmani-Oskooee, Mohsen & Techaratanachai, Ampa, 2001. "Currency substitution in Thailand," Journal of Policy Modeling, Elsevier, Elsevier, vol. 23(2), pages 141-145, February.
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