Multirank Cointegration Analysis Of Turkish M1 Money Demand (1987q1-2006q3)
AbstractIn 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Department of Econometrics, Faculty of Economics, Istanbul University in its journal Istanbul University Econometrics and Statistics e-Journal.
Volume (Year): 6 (2007)
Issue (Month): 1 (May)
Money Demand; Aggregate Demand; Turkish Economy; Cointegration; Identification; Super Exogeneity; Structural Breaks; Economic Policy;
Find related papers by 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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- A Garratt & K Lee & M H Pesaran & Yongcheol Shin, 1999.
"A structural cointegrating VAR approach to macroeconometric modelling,"
ESE Discussion Papers
8, Edinburgh School of Economics, University of Edinburgh.
- Garratt, Anthony & Lee, Kevin C & Pesaran, M. Hashem & Shin, Yongcheol, 1998. "A Structural Cointegrating VAR Approach to Macroeconometric Modelling," Cambridge Working Papers in Economics 9823, Faculty of Economics, University of Cambridge.
- Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998.
"A Long-run Structural Macro-econometric Model of the UK,"
Cambridge Working Papers in Economics
9812, Faculty of Economics, University of Cambridge.
- Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, 04.
- A Garratt & K Lee & M Pesaran & Yongcheol Shin, 2004. "A long run structural macroeconometric model of the UK," ESE Discussion Papers 35, Edinburgh School of Economics, University of Edinburgh.
- Søren Johansen & Katarina Juselius, 1992.
"Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model,"
92-04, University of Copenhagen. Department of Economics.
- Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
- Choudhry, Taufiq, 1995. "High inflation rates and the long-run money demand function: Evidence from cointegration tests," Journal of Macroeconomics, Elsevier, vol. 17(1), pages 77-91.
- Subramanian S. Sriram, 1999. "Demand for M2 in an Emerging-Market Economy," IMF Working Papers 99/173, International Monetary Fund.
- Stephen M. Goldfeld, 1973. "The Demand for Money Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 4(3), pages 577-646.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kutluk Kagan Sumer).
If references are entirely missing, you can add them using this form.