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Multirank Cointegration Analysis Of Turkish M1 Money Demand (1987q1-2006q3)

  • H. LEVENT KORAP

    ()

    (Marmara University Department of Economics)

In our paper, we employ multivariate cointegration analysis to the Turkish M1 narrow money demand. The ex-post estimation results reveal that it is possible to identify a money demand vector in the cointegrating space as a priori hypothesized through economics theory. But some structural break points and parameter instabilities coincided with post-1994 economic crisis period and 2000-stabilization program cast some doubt upon whether the estimated model can represent all the period under investigation. Besides, a second potential vector found in the long-run variable space has been decomposed to reconcile it with excess aggregate demand reacting to the domestic inflation.

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File URL: http://eidergisi.istanbul.edu.tr/sayi6/iueis6m1.pdf
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Article provided by Department of Econometrics, Faculty of Economics, Istanbul University in its journal Istanbul University Econometrics and Statistics e-Journal.

Volume (Year): 6 (2007)
Issue (Month): 1 (May)
Pages: 1-28

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Handle: RePEc:ist:ancoec:v:6:y:2007:i:1:p:1-28
Contact details of provider: Web page: http://eidergisi.istanbul.edu.tr
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  1. Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, 04.
  2. Subramanian S. Sriram, 1999. "Demand for M2 in an Emerging-Market Economy; An Error-Correction Model for Malaysia," IMF Working Papers 99/173, International Monetary Fund.
  3. Stephen M. Goldfeld, 1973. "The Demand for Money Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 4(3), pages 577-646.
  4. Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.
  5. Choudhry, Taufiq, 1995. "High inflation rates and the long-run money demand function: Evidence from cointegration tests," Journal of Macroeconomics, Elsevier, vol. 17(1), pages 77-91.
  6. A Garratt & K Lee & M H Pesaran & Yongcheol Shin, 1999. "A structural cointegrating VAR approach to macroeconometric modelling," ESE Discussion Papers 8, Edinburgh School of Economics, University of Edinburgh.
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