Cointegration Analysis of Money Demand During the Period 1987(I)- 1999(IV) in Turkey
AbstractIn 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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Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 0111002.
Date of creation: 04 Nov 2001
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Vector autoregressive model; cointegartion; and Money demand; Granger causality; weak exogeneity;
Find related papers by JEL classification:
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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