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Stability Of The Demand For Money In Korea

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Author Info
MOHESEN BAHMANI-OSKOOEE
SUNGWON SHIN

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Abstract

Cointegration technique is now a common method of estimating any money demand function. Couple studies that applied this technique to money demand in Korea, interpreted their finding of cointegration as a sign of stable money demand. In this paper we show that even though M2 monetary aggregate is cointegrated with income, interest rate and exchange rate, application of CUSUM and CUSUMSQ tests to the residuals of an error-correction model reveal that it is unstable. [E41]

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Publisher Info
Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 16 (2002)
Issue (Month): 2 (June)
Pages: 85-95
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Handle: RePEc:taf:intecj:v:16:y:2002:i:2:p:85-95

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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.:
  1. Karfakis, Costas I & Parikh, Ashok, 1993. "A Cointegration Approach to Monetary Targeting in Australia," Australian Economic Papers, Blackwell Publishing, vol. 32(60), pages 53-72, June.
  2. Hafer, R W & Jansen, Dennis W, 1991. "The Demand for Money in the United States: Evidence from Cointegration Tests," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 155-68, May. [Downloadable!] (restricted)
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  3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  4. Ivo Arnold, 1994. "The myth of a stable European money demand," Open Economies Review, Springer, vol. 5(3), pages 249-259, July. [Downloadable!] (restricted)
  5. Bahmani-Oskooee, Mohsen, 1996. "The black market exchange rate and demand for money in Iran," Journal of Macroeconomics, Elsevier, vol. 18(1), pages 171-176. [Downloadable!] (restricted)
  6. Bahmani-Oskooee, Mohsen & Bohl, Martin T., 2000. "German monetary unification and the stability of the German M3 money demand function," Economics Letters, Elsevier, vol. 66(2), pages 203-208, February. [Downloadable!] (restricted)
  7. Mohsen Bahmani-Oskooee & Hyun-Jae Rhee, 1994. "Long-Run Elasticities Of The Demand For Money In Korea: Evidence From Cointegration Analysis," International Economic Journal, Korean International Economic Association, vol. 8(2), pages 83-93, June. [Downloadable!] (restricted)
  8. Bahmani-Oskooee, Mohsen & Pourheydarian, Mohammad, 1990. "Exchange Rate Sensitivity of Demand for Money and Effectiveness of Fiscal and Monetary Policies," Applied Economics, Taylor and Francis Journals, vol. 22(7), pages 917-25, July.
  9. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
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  10. Muscatelli, Vito Antonio & Papi, Luca, 1990. "Cointegration, Financial Innovation and Modelling the Demand for Money in Italy," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 58(3), pages 242-59, September.
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Cited by:
(explanations, 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.)

  1. Stefka Slavova, 2003. "Money demand during hyperinflation and stabilization: Bulgaria, 1991-2000," Applied Economics, Taylor and Francis Journals, vol. 35(11), pages 1303-1316, July. [Downloadable!] (restricted)
  2. Boriss Siliverstovs, 2007. "Dynamic Modelling of the Demand for Money in Latvia," Discussion Papers of DIW Berlin 703, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    Other versions:
  3. Sharifi-Renani, Hosein, 2007. "Demand for money in Iran: An ARDL approach," MPRA Paper 8224, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  4. Ferda HALICIOGLU & Mehmet UGUR, 2005. "On Stability of the Demand for Money in a Developing OECD," Macroeconomics 0508001, EconWPA. [Downloadable!]
  5. Boriss Siliverstovs, 2007. "Money Demand in Estonia," Discussion Papers of DIW Berlin 675, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  6. Mohsen Bahmani-Oskooee & Hafez Rehman, 2005. "Stability of the money demand function in Asian developing countries," Applied Economics, Taylor and Francis Journals, vol. 37(7), pages 773-792, April. [Downloadable!] (restricted)
  7. Mohsen Bahmani-oskooee & Charikleia Economidou, 2005. "How stable is the demand for money in Greece?," International Economic Journal, Korean International Economic Association, vol. 19(3), pages 461-472, September. [Downloadable!] (restricted)
  8. Nienke Oomes & Franziska Ohnsorge, 2005. "Money Demand and Inflation in Dollarized Economies: The Case of Russia," IMF Working Papers 05/144, International Monetary Fund. [Downloadable!]
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