Advanced Search
MyIDEAS: Login to save this paper or follow this series

Modeling Turkish M2 broad money demand: a portfolio-based approach using implications for monetary policy

Contents:

Author Info

  • Levent, Korap

Abstract

In this paper, a money demand model upon M2 broad monetary aggregate for the Turkish economy is examined in a portfolio-based approach considering various alternative cost measures to hold money. Employing multivariate co-integration methodology of the same order integrated variables, our estimation results indicate that there exists a theoretically plausible co-integrating vector in the long-run money demand variable space. The main alternative costs to demand for money are found as the depreciation rate of domestic currency and the course of equity prices, for which the former brings out the importance of currency substitution phenomenon settled in the economy. Besides, we find that domestic inflation carries a weakly exogenous characteristic and conclude that the main factors leading to the domestic inflation are determined out of the money demand variable space.

Download Info

If 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.
File URL: http://mpra.ub.uni-muenchen.de/19703/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 19703.

as in new window
Length:
Date of creation: 2008
Date of revision:
Publication status: Published in Selçuk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Sosyal ve Ekonomik Araştırmalar Dergisi 15.9(2008): pp. 1-13
Handle: RePEc:pra:mprapa:19703

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Broad money ; co-integration ; currency substitution ; Turkish economy ;

Find related papers by JEL classification:

References

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.:
as in new window
  1. Christian Dreger & Hans-Eggert Reimers & Barbara Roffia, 2007. "Long-Run Money Demand in the New EU Member States with Exchange Rate Effects," Eastern European Economics, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 45(2), pages 75-94, April.
  2. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 64(4), pages 813-36, July.
  3. Defne Mutluer & Yasemin Barlas, 2002. "Modeling the Turkish Broad Money Demand," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 55-75.
  4. Zenon Kontolemis G., 2002. "Money Demand in the Euro Area," IMF Working Papers, International Monetary Fund 02/185, International Monetary Fund.
  5. Choudhry, Taufiq, 1995. "High inflation rates and the long-run money demand function: Evidence from cointegration tests," Journal of Macroeconomics, Elsevier, Elsevier, vol. 17(1), pages 77-91.
  6. Irfan Civcir, 2003. "Money demand, financial liberalization and currency substitution in Turkey," Journal of Economic Studies, Emerald Group Publishing, Emerald Group Publishing, vol. 30(5), pages 514-534, October.
  7. Ozge Akinci, 2003. "Modeling the Demand for Currency Issued in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(1), pages 1-25.
  8. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 2(2), pages 111-120, July.
  9. Melike Altinkemer, 2004. "Importance of Base Money Even When Inflation Targeting," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey 0404, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  10. Jean-Claude Nachega, 2001. "A Cointegration Analysis of Broad Money Demand in Cameroon," IMF Working Papers, International Monetary Fund 01/26, International Monetary Fund.
  11. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:19703. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.