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Cointegration Analysis of Money Demand During the Period 1987(I)- 1999(IV) in Turkey

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  • Aziz KUTLAR

    (Cumhuriyet Universitesi,Sivas)

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    Abstract

    In this study we mainly dealt with money demand in broad sense for the period between 1987(I) when significant reforms related with money policy of Turkey were realised, and 1999(IV) when drastic measures were taken to cope with inflation. Moreover, interrelation between real money demand used in empirical studies for money demand equation, and income, money and treasury bond interest return and inflation were analysed. We applied cointegration test for cointegration analysis and a research was done to find out whether the series were CI(1,1) or not. ADF and PP tests for stationary of were used. It was determined that the series were I (I) when the both tests were used together. Later, a suitable VAR (4) model for cointegartion analysis was selected and Granger causality and misspesification ARCH (4) and AR (4) tests were applied. Cointegrating vectors were determined in restricted an unrestricted cointegartion analysis, and long-run money demand equation was tried to be stated

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    File URL: http://128.118.178.162/eps/mac/papers/0111/0111002.pdf
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    Bibliographic Info

    Paper provided by EconWPA in its series Macroeconomics with number 0111002.

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    Date of creation: 04 Nov 2001
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    Handle: RePEc:wpa:wuwpma:0111002

    Note: Type of Document - none; prepared on IBM PC ; to print on HP;
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    Web page: http://128.118.178.162

    Related research

    Keywords: Vector autoregressive model; cointegartion; and Money demand; Granger causality; weak exogeneity;

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