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.
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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
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