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Multirank Cointegration Analysis Of Turkish M1 Money Demand (1987q1-2006q3)

Author

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  • H. LEVENT KORAP

    (Marmara University Department of Economics)

Abstract

In our paper, we employ multivariate cointegration analysis to the Turkish M1 narrow money demand. The ex-post estimation results reveal that it is possible to identify a money demand vector in the cointegrating space as a priori hypothesized through economics theory. But some structural break points and parameter instabilities coincided with post-1994 economic crisis period and 2000-stabilization program cast some doubt upon whether the estimated model can represent all the period under investigation. Besides, a second potential vector found in the long-run variable space has been decomposed to reconcile it with excess aggregate demand reacting to the domestic inflation.

Suggested Citation

  • H. Levent Korap, 2007. "Multirank Cointegration Analysis Of Turkish M1 Money Demand (1987q1-2006q3)," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 6(1), pages 1-28, May.
    • Handle: RePEc:ist:ancoec:v:6:y:2007:i:1:p:1-28
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    File URL: http://eidergisi.istanbul.edu.tr/sayi6/iueis6m1.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Money Demand; Aggregate Demand; Turkish Economy; Cointegration; Identification; Super Exogeneity; Structural Breaks; Economic Policy;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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