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Long-Run Elasticities Of The Demand For Money In Korea: Evidence From Cointegration Analysis

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Author Info
MOHSEN BAHMANI-OSKOOEE
HYUN-JAE RHEE

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Abstract

Most recent studies have employed the cointegration technique to investigate the long-run stability of the demand for money. This study considers the case of Korea. It is shown that in the long-run while M1 monetary aggregate is cointegrated with income, interest rate, and the exchange rate, M2 is not. However, results from error-correction models reveal that both M1 and M2 have short-run relationship with their determinants. [E41]

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

Volume (Year): 8 (1994)
Issue (Month): 2 (June)
Pages: 83-93
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Handle: RePEc:taf:intecj:v:8:y:1994:i:2:p:83-93

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References listed on IDEAS
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. Fair, Ray C, 1987. "International Evidence on the Demand for Money," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 473-80, August. [Downloadable!] (restricted)
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  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)
    Other versions:
  3. Bahmani-Oskooee, Mohsen & Malixi, Margaret, 1991. "Exchange Rate Sensitivity of the Demand for Money in Developing Countries," Applied Economics, Taylor and Francis Journals, vol. 23(8), pages 1377-83, August.
  4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
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  5. Aoki, Masanao, 1987. "An alternative measure of random walk components in time series," Economics Letters, Elsevier, vol. 24(3), pages 227-230. [Downloadable!] (restricted)
  6. James MacKinnon, 1990. "Critical Values for Cointegration Tests," University of California at San Diego, Economics Working Paper Series 90-4, Department of Economics, UC San Diego. [Downloadable!]
  7. 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.
  8. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March. [Downloadable!] (restricted)
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  9. Augustine Arize, 1989. "An Econometric Investigation Of Money Demand Behavior In Four Asian Developing Countries," International Economic Journal, Korean International Economic Association, vol. 3(4), pages 79-93, December. [Downloadable!] (restricted)
  10. Hoffman, Dennis L & Rasche, Robert H, 1991. "Long-Run Income and Interest Elasticities of Money Demand in the United States," The Review of Economics and Statistics, MIT Press, vol. 73(4), pages 665-74, November. [Downloadable!] (restricted)
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  11. Gupta, K. L. & Moazzami, B., 1989. "Demand for money in Asia," Economic Modelling, Elsevier, vol. 6(4), pages 467-473, October. [Downloadable!] (restricted)
  12. Stephen M. Goldfeld, 1973. "The Demand for Money Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 4(1973-3), pages 577-646. [Downloadable!]
  13. Aoki, Masanao, 1988. "On alternative state space representations of time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 595-607. [Downloadable!] (restricted)
  14. Arango, Sebastian & Ishaq Nadiri, M., 1981. "Demand for money in open economies," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 69-83. [Downloadable!] (restricted)
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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. Mohsen Bahmani-Oskooee & Hyun-Jae Rhee, 1997. "Are Imports And Exports Of Korea Cointegrated?," International Economic Journal, Korean International Economic Association, vol. 11(1), pages 109-114, April. [Downloadable!] (restricted)
  2. Mohesen Bahmani-Oskooee & Sungwon Shin, 2002. "Stability Of The Demand For Money In Korea," International Economic Journal, Korean International Economic Association, vol. 16(2), pages 85-95, June. [Downloadable!] (restricted)
  3. Qayyum, Abdul & Khan, Arshad, 2003. "Capital Flows and Money Supply: The Degree of Sterilisation in Pakistan," MPRA Paper 2150, University Library of Munich, Germany, revised 2003. [Downloadable!]
    Other versions:
  4. James E. Payne, 2003. "Post stabilization estimates of money demand in Croatia: error correction model using the bounds testing approach," Applied Economics, Taylor and Francis Journals, vol. 35(16), pages 1723-1727, November. [Downloadable!] (restricted)
  5. Abbas Valadkhani & Mohammad Alauddin, 2003. "Demand for M2 in Developing Countries: An Empirical Panel Investigation," School of Economics and Finance Discussion Papers and Working Papers Series 158, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    Other versions:
  6. Abbas Valadkhani, 2003. "Long and Short-Run Determinants of Money Demand in New Zealand: Evidence from Cointegration Analysis," School of Economics and Finance Discussion Papers and Working Papers Series 132, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  7. Tong Hun Lee & Hoyoung Hwang, 2001. "Money, Interest Rate And Foreign Exchange Rate As Indicator Variables Of Monetary Policy," International Economic Journal, Korean International Economic Association, vol. 15(2), pages 77-98, June. [Downloadable!] (restricted)
  8. 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)
  9. Valadkhani, Abbas, 2006. "What Determines the Demand for Money in the Asian-Pacific Countries? An Empirical Panel Investigation," Economics Working Papers wp06-11, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
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