The determinants and stability of money demand in the Republic of Macedonia
The goal of this paper is to examine the long and short-run determinants, and stability of money demand (M1) in the Republic of Macedonia using monthly data from January 2005 to October 2012. The Johansen cointegration technique and VECM model were used to find the long-run and short-term dynamic relationships in money demand model. Empirical results provide the evidence that exchange rate and interest rate payable on denar time deposits up to one month explains the most variations of money demand in the long-run, while interest rate is significant only in short-run. Long-run money demand function is estimated to indicate slow speed of adjustment of removing the disequilibrium. Our finding shows that real money demand M1 in the Republic of Macedonia is stable in the analyzed period. The results obtained in this study suggest that the National Bank should carefully monitor the exchange rate and inflation as two most important indicators of monetary policy, because these two determinants are the main drivers of demand for money in the short and long term.
Volume (Year): 31 (2013)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: |
Web page: https://www.efri.uniri.hr/en/proceedings
More information through EDIRC
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.:
- Hamburger, Michael J., 1977. "The demand for money in an open economy : Germany and the United Kingdom," Journal of Monetary Economics, Elsevier, vol. 3(1), pages 25-40, January.
- Abbas Valadkhani & Mohammad Alauddin, 2003.
"Demand for M2 in Developing Countries: An Empirical Panel Investigation,"
School of Economics and Finance Discussion Papers and Working Papers Series
149, School of Economics and Finance, Queensland University of Technology.
- Abbas Valadkhani & Mohammad Alauddin, 2003. "Demand for M2 in Developing Countries: An Empirical Panel Investigation," School of Economics and Finance Discussion Papers and Working Papers Series 158, School of Economics and Finance, Queensland University of Technology.
- Quan Hoang Vuong & Tran Tri Dung, 2010. "Corporate Bond Market in the Transition Economy of Vietnam, 1990-2010," Working Papers CEB 10-001.RS, ULB -- Universite Libre de Bruxelles.
- Aaron Mehrotra, 2008.
"Demand for Money in Transition: Evidence from China’s Disinflation,"
International Advances in Economic Research,
International Atlantic Economic Society, vol. 14(1), pages 36-47, February.
- Mehrotra, Aaron, 2006. "Demand for money in transition: Evidence from China's disinflation," BOFIT Discussion Papers 10/2006, Bank of Finland, Institute for Economies in Transition.
- Bahmani-Oskooee Mohsen & Shin Sungwon, 2002. "Stability of the Demand for Money in Korea," International Economic Journal, Taylor & Francis Journals, vol. 16(2), pages 85-95.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Joaquim Vieira Ferreira Levy & Alessandro Calza & Dieter Gerdesmeier, 2001. "Euro Area Money Demand; Measuring the Opportunity Costs Appropriately," IMF Working Papers 01/179, International Monetary Fund.
- Neil R. Ericsson, 1998. "Empirical modeling of money demand," Empirical Economics, Springer, vol. 23(3), pages 295-315.
- Andreas Beyer, 1998. "Modelling money demand in Germany," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(1), pages 57-76.
- Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
- Dario Cziráky & Max Gillman, 2006.
"Money Demand in an EU Accession Country: A VECM Study of Croatia,"
Bulletin of Economic Research,
Wiley Blackwell, vol. 58(2), pages 105-127, 04.
- Gillman, Max & Cziráky, Dario, 2005. "Money Demand in an EU Accession Country: A VECM Study of Croatia," Cardiff Economics Working Papers E2005/7, Cardiff University, Cardiff Business School, Economics Section.
- Keith Cuthbertson & Don Bredin, 2001.
"Money demand in the czech republic since transition,"
Journal of Economic Policy Reform,
Taylor & Francis Journals, vol. 4(4), pages 271-290.
- Bredin, Don & Cuthbertson, Keith, 2001. "Money Demand in the Czech Republic since Transition," Research Technical Papers 3/RT/01, Central Bank of Ireland.
- Bohdan Klos & Ewa Wrobel, 2001. "The monetary transmission mechanism and the structural modelling of inflation at the National Bank of Poland," BIS Papers chapters, in: Bank for International Settlements (ed.), Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries, volume 8, pages 232-251 Bank for International Settlements.
- Bahmani-Oskooee, Mohsen & Shabsigh, Ghiath, 1996. "The demand for money in Japan: Evidence from cointegration analysis," Japan and the World Economy, Elsevier, vol. 8(1), pages 1-10, March.
- Dickey, David A & Rossana, Robert J, 1994. "Cointegrated Time Series: A Guide to Estimation and Hypothesis Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(3), pages 325-53, August.
- Laidler, David, 1999. "The Quantity of Money and Monetary Policy," Working Papers 99-5, Bank of Canada.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
- Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
- Bentzen, Jan & Engsted, Tom, 1993. "Short- and long-run elasticities in energy demand : A cointegration approach," Energy Economics, Elsevier, vol. 15(1), pages 9-16, January.
- Mankiw, N Gregory & Summers, Lawrence H, 1986. "Money Demand and the Effects of Fiscal Policies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(4), pages 415-29, November.
- Arango, Sebastian & Ishaq Nadiri, M., 1981. "Demand for money in open economies," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 69-83.
- James Payne, 2003. "Post stabilization estimates of money demand in Croatia: error correction model using the bounds testing approach," Applied Economics, Taylor & Francis Journals, vol. 35(16), pages 1723-1727.
When requesting a correction, please mention this item's handle: RePEc:rfe:zbefri:v:31:y:2013:i:1:p:35-54. 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: (Antica Sergovic)
If references are entirely missing, you can add them using this form.