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Dynamic Analysis of Money Demand Function: Case of Turkey

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  • doğru, bülent

Abstract

In this paper, the dynamic determinants of money demand function and the long-run and short-run relationships between money demand, income and nominal interest rates are examined in Turkey for the time period 1980-2012. In particular we estimate a dynamic specification of a log money demand function based on Keynesian liquidity preference theory to ascertain the relevant elasticity of money demand. The empirical results of the study show that in Turkey inflation, exchange rate and money demand are co-integrated, i.e., they converge to a long run equilibrium point, and money demand function in Turkey.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 48402.

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Date of creation: 15 Jan 2013
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Handle: RePEc:pra:mprapa:48402

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Keywords: Dynamic Ordinary Least Squares; Vector Error Correction; Money Demand Function;

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  2. Peter C.B. Phillips & Joon Y. Park, 1998. "Asymptotics for Nonlinear Transformations of Integrated Time Series," Cowles Foundation Discussion Papers 1182, Cowles Foundation for Research in Economics, Yale University.
  3. Drama, Bedi Guy Herve & Yao, Shen, 2010. "The Demand for Money in Cote d’Ivoire: Evidence from the Cointegration Test," MPRA Paper 20131, University Library of Munich, Germany.
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  12. Adam, Christopher, 1992. "On the Dynamic Specification of Money Demand in Kenya," Journal of African Economies, Centre for the Study of African Economies (CSAE), vol. 1(2), pages 233-70, August.
  13. Timo Teräsvirta & Ann-Charlotte Eliasson, 2001. "Non-linear error correction and the UK demand for broad money, 1878-1993," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 277-288.
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  15. Baba, Yoshihisa & Hendry, David F & Starr, Ross M, 1992. "The Demand for M1 in the U.S.A., 1960-1988," Review of Economic Studies, Wiley Blackwell, vol. 59(1), pages 25-61, January.
  16. Kevin Nell, 2003. "The Stability of M3 Money Demand and Monetary Growth Targets: The Case of South Africa," Journal of Development Studies, Taylor & Francis Journals, vol. 39(3), pages 155-180.
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