337
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Long-run estimates of money demand: new evidence from East Asian countries and the presence of structural breaks

References

  • Agénor, P.-R. and Khan, M. (1996) Foreign currency deposits and the demand for money in developing countries, Journal of Development Economics, 50, 101–18. doi:10.1016/0304-3878(96)00005-3
  • Andrews, D. and Monahan, C. (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator, Econometrica, 60, 953–66. doi:10.2307/2951574
  • Andrews, D. W. K. (1993) Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821–56.
  • Andrews, D. W. K. and W. Ploberger. (1994) Optimal tests when a nuisance parameter is present only under the alternative, Econometrica, 62, 1383–414.
  • Arestis, P. (Eds) (1988) The demand for money in small developing economies: an application of the error correction mechanism, in Contemporary Issues in Money and Banking, Edward Elgar, Chaltenham.
  • Arize, A. C. (1989) An econometric investigation of money demand behaviour in four Asian developing countries, International Economic Journal, 3, 79–93. doi:10.1080/10168738900080030
  • Arize, A. C., Malindretos, J. and Shwiff, S. S. (1999) Structural breaks, cointegration, and speed of adjustment: evidence from 12 LDCs money demand, International Review of Economics and Finance, 8, 399–420.
  • Arize, A. C. and Nam, K. (2012) The demand for money in Asia: some further evidence, International Journal of Economics and Finance, 4, 59–71. doi:10.5539/ijef.v4n8p59
  • Arnold, I. J. M. and Roelands, S. (2010) The demand for Euros, Journal of Macroeconomics, 32, 674–84. doi: 10.1016/j.jmacro.2010.01.001
  • Arrau, P. (1991) The demand for money in developing countries: assessing the role of financial innovation, International Monetary Fund Working Paper No. 91/45, IMF, Washington, DC.
  • Asian Development Bank. (2009) Asian Development Outlook, Update, Asian Development Bank, Singapore.
  • Atchariyachanvanich, W. (2002) Changes in structure of demand for money in four-crisis affected Asian countries, in Paper presented at the 3rd Special Study Meeting of Japanese Society for International Development, Tokyo.
  • Austin, D., Ward, B. and Dalziel, P. (2007) The demand for money in China 1987–2004: a non-linear modelling approach, China Economic Review, 18, 190–204. doi:10.1016/j.chieco.2006.06.002
  • Bahmani-Oskooee, M. and Malixi, M. (1991) Exchange rate sensitivity of the demand for money in developing countries, Applied Economics, 23, 1377–84. doi:10.1080/00036849100000060
  • Bahmani-Oskooee, M. and Rehman, H. (2005) Stability of the money demand function in Asian developing countries, Applied Economics, 37, 773–92. doi:10.1080/0003684042000337424
  • Bahmani-Oskooee, M. and Rhee, H. J. (1994) Long-run elasticities of the demand for money in Korea: evidence from cointegration analysis, International Economic Journal, 8, 83–93.
  • Bai, J., Kao, C. and Ng, S. (2009) Panel cointegration with global stochastic trends, Journal of Econometrics, 149, 82–99. doi:10.1016/j.jeconom.2008.10.012
  • Bai, J. and Ng, S. (2004) A panic attack on unit roots and cointegration, Econometrica, 72, 1127–77. doi:10.1111/j.1468-0262.2004.00528.x
  • Bai, J. and Perron, P. (2003) Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1–22.
  • Ball, L. (2001) Another look at long-run money demand, Journal of Monetary Economics, 47, 31–44. doi:10.1016/S0304-3932(00)00043-X
  • Boone, L. and Vanden Noord, P. (2008) Wealth effects on money demand in the Euro area, Empirical Economics, 34, 525–36. doi:10.1007/s00181-007-0134-5
  • Capasso, S. and Napolitano, O. (2012) Testing for the stability of money demand in Italy: has the Euro influenced the monetary transmission mechanism?, Applied Economics, 44, 3121–33. doi:10.1080/00036846.2011.570719
  • Carrion-i-Silvestre, J. L., Barrio-Castro, T. D. and Lopez-Bazo, E. (2005) Breaking the panels: an application to the GDP per capita, Econometrics Journal, 8, 159–75. doi:10.1111/j.1368-423X.2005.00158.x
  • Cho, D. W. and Miles, W. (2000) Financial innovation and the stability of money demand in Korea, Southwestern Economic Review, 51–60.
  • Choi, I. (2002) Combination unit root tests for cross-sectionally correlated panels, mimeo, Hong Kong University of Science and Technology, Kowloon.
  • Chowdhury, A. R. (1995) The demand for money in a small open economy: the case of Switzerland, Open Economies Review, 6, 131–44. doi:10.1007/BF01001233
  • Cocco, J. F., Gomes, F. J. and Maenhout, P. J. (2005) Consumption and portfolio choice over the life cycle, Review of Financial Studies, 18, 491–533. doi:10.1093/rfs/hhi017
  • De Bondt, G. J. (2009) Euro area money demand: empirical evidence on the role of equity and labour markets, European Central Bank Working Paper, No. 1086. Available at http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1086.pdf (accessed 31 March 2015).
  • De Brouwer, G., Ng, I. and Subbaraman, R. (1993) The demand for money in Australia: new tests on an old topic, Research Discussion Paper, No. 9314, Reserve Bank of Australia, Sydney.
  • Dreger, C., Reimers, H.-E. and Roffia, B. (2007) Long-run money demand in the new EU member states with exchange rate effects, Eastern European Economics, 45, 75–94.doi: 10.2753/EEE0012-8775450204
  • Dreger, C. and Wolters, J. (2010) Investigating M3 money demand in the Euro area, Journal of International Money and Finance, 29, 111–22. doi:10.1016/j.jimonfin.2009.02.002
  • Duca, J. V. and VanHoose, D. D. (2004) Recent developments in understanding the demand for money, Journal of Economics and Business, 56, 247–72. doi:10.1016/j.jeconbus.2004.01.001
  • Elbadawi, I. A. and Schmidt-Hebbel, K. (2007) The demand for money around the end of civil wars, mimeo, World Bank. Available at http://siteresources.worldbank.org (accessed 31 March 2015).
  • Elliott, G., Rothenberg, T. J. and Stock, J. H. (1996) Efficient tests for an autoregressive unit root, Econometrica, 64, 813–36. doi:10.2307/2171846
  • Ennis, H. M. and Keister, T. (2008) Understanding monetary policy implementation, Economic Quarterly Federal Reserve Bank of Richmond, 94, 235–63.
  • Ewing, B. T. and Payne, J. E. (1998) Some recent international evidence on the demand for money, Studies in Economics and Finance, 19, 84–107. doi:10.1108/eb028754
  • Fujiki, H. (2013) Japanese money demand from the regional data: an update and some additional results, Working Paper Series, Bank of Japan.
  • Gerlach, S. and Svensson, L. (2003) Money and inflation in the euro area: a case for monetary indicators?, Journal of Monetary Economics, 50, 1649–72. doi:10.1016/j.jmoneco.2003.02.002
  • Gupta, K. L. and Moazzami, B. (1989) Demand for money in Asia, Economic Modelling, 6, 467–73. doi:10.1016/0264-9993(89)90023-0
  • Hamori, S. (2008) Empirical analysis of the money demand function in Sub-Saharan Africa, Economics Bulletin, 15, 1–15.
  • Hansen, B. (1992) Tests for parameter instability in regressions with I(1) processes, Journal of Business and Economics Statistics, 10, 321–35.
  • Hamori, S. and Hamori, N. (2008) Demand for money in the Euro area, Economic Systems, 32, 274–84. doi:10.1016/j.ecosys.2008.03.001
  • Hussain, M. N. and Wijewwera, A. (2013) Estimation of the money demand function in a heterogeneous panel for selected Asian countries, Indian Journal of Economics and Business, 1, 1–16.
  • Im, K.-S., Lee, J. and Tieslau, M. (2005) Panel LM unit root tests with level shifts, Oxford Bulletin of Economics and Statistics, 67, 393–419. doi:10.1111/j.1468-0084.2005.00125.x
  • Inoue, T. and Hamori, S. (2008) An empirical analysis of the money demand function in India, Working Paper, No. 166, Institute of Developing Economies, Japan.
  • Ito, T. (2002) Is foreign exchange intervention effective? The Japanese experiences in the 1990s, NBER Working Paper Series, Working Paper No 8914, NBER.
  • Kao, C. and Chiang, M. H. (2000) On the estimation and inference of a cointegrated regression in panel data, Advances in Econometrics, 15, 179–222. doi:10.1016/S0731-9053(00)15007-8
  • Khor, H. E. (2000) Discussion, in Joseph, C. and Gunawan, A. H. (Eds), Monetary Policy and Inflation Targeting in Emerging Countries, Proceedings of an International Conference, Bank Indonesia and International Monetary Fund, Jakarta.
  • Kumar, S., Chowdhury, M. and Rao, B. B. (2010) Demand for money in the selected OECD countries: a time series panel data approach and structural breaks, MPRA Paper, No. 22204, University Library of Munich, Germany.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. et al. (1992) Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics, 54, 159–78. doi:10.1016/0304-4076(92)90104-Y
  • Laidler, D. E. W. (1985) The Demand for Money: Theories, Evidences, and Problems, Harper & Row, Publishers, New York.
  • Laidler, D. E. W. (1999) The quantity of money and monetary policy, Bank of Canada Working Paper Series No. 99-5, Bank of Canada, Ottawa.
  • Liu, M.-H., Margaritis, D. and Tourani-Rad, A. (2008) Monetary policy transparency and pass-through of retail interest rates, Journal of Banking and Finance, 32, 501–11. doi:10.1016/j.jbankfin.2007.06.012
  • Lucas Jr, R. E. (1988) Money demand in the United States: a quantitative review, Carnegie-Rochester Conference Series on Public Policy, 29, 137–67. 10.1016/0167-2231(88)90009-7
  • Mark, N. C. and Sul, D. (2003) Cointegration vector estimation by panel DOLS and long-run money demand, Oxford Bulletin of Economics and Statistics, 65, 655–80. doi:10.1111/j.1468-0084.2003.00066.x
  • McCallum, B. T. (2001) Inflation targeting and the liquidity trap, in Inflation Targeting: Design, Performance, Challenges, Loayza, N. and Soto, R. (Eds.), Central Bank of Chile, Santiago.
  • McCoskey, S. and Kao, C. (1998) A residual-based test of the null of cointegration in panel data, Econometric Reviews, 17, 57–84. doi:10.1080/07474939808800403
  • McKinnon, R. I. (2000) The East Asian dollar standard: life after death? mimeo, World Bank, Washinghton, DC.
  • Mishra, P., Montiel, P. J. and Spilimbergo, A. (2010) Monetary transmission in low income countries, Centre for Economic Policy Research, Discussion Paper Series, 7951.
  • Miyagawa, S. and Morita, Y. (2004) The recent monetary policy and money demand in Japan, Discussion Paper, No. 15, Institute of Economics, University of Copenhagen.
  • Moon, H. R. and Perron, B. (2004) Testing for a unit root in panels with dynamic factors, Journal of Econometrics, 122, 81–126. doi:10.1016/j.jeconom.2003.10.020
  • Narayan, P. K., Narayan, S. and Mishra, V. (2009) Estimating money demand functions for South Asian countries, Empirical Economics, 36, 685–96. doi:10.1007/s00181-008-0219-9
  • Nautz, D. and Rondorf, U. (2011) The (in)stability of money demand in the Euro area: lessons from a cross-country analysis, Empirica, 38, 539–53. doi:10.1007/s10663-010-9139-y
  • Newey, W. and West, K. (1994) Automatic lag selection in covariance matrix estimation, The Review of Economic Studies, 61, 631–53. doi:10.2307/2297912
  • Osawa, N. (2006) Monetary policy responses to the exchange rate: empirical evidence from three East Asian inflation-targeting countries, Bank of Japan Working Paper Series, No. 06-E-14.
  • Pedroni, P. (1999) Critical values for cointegration tests in heterogeneous panels with multiple regressors, Oxford Bulletin of Economics and Statistics, 61, 653–70. doi:10.1111/1468-0084.61.s1.14
  • Pedroni, P. (2000) Fully modified OLS for heterogeneous cointegrated panels, Advances in Econometrics, 15, 93–130. doi:10.1016/S0731-9053(00)15004-2
  • Pesaran, M. (2004) General diagnostic tests for cross section dependence in panels, Cambridge Working Papers in Economics, No. 435, and CESifo Working Paper Series, No. 1229.
  • Pesaran, M. H. (2007) A simple panel unit root test in the presence of cross-section dependence, Journal of Applied Econometrics, 22, 265–312. doi:10.1002/jae.951
  • Phillips, P. C. B. and Hansen, B. E. (1990) Statistical inference in instrumental variables regression with I(1) processes, The Review of Economic Studies, 57, 99–125. doi:10.2307/2297545
  • Phillips, P. C. B. and Moon, H. R. (1999) Linear regression limit theory for nonstationary panel data, Econometrica, 67, 1057–111. doi:10.1111/1468-0262.00070
  • Rao, B. B., Tamazian, A. and Singh, P. (2009) Demand for money in the Asian countries: a systems GMM panel data approach and structural breaks, MPRA Paper 15030, University Library of Munich, Germany.
  • Setzer, R. and Greiber, G. (2007) Money and housing: evidence for the Euro Area and the US, Deutsche Bundesbank Discussion Paper No. 12/2007.
  • Setzer, R. and Wolff, G. B. (2009) Money demand in the Euro area: new insights from disaggregated data, European Economy. Economic Papers 373, Directorate General Economic and Monetary Affairs, European Commission.
  • Simmons, R. (1992) An error-correction approach to demand for money in five African developing countries, Journal of Economic Studies, 19, 29–48. doi:10.1108/01443589210015935
  • Sriram, S. S. (2000) A survey of recent empirical money demand studies, IMF Staff Papers, 47, 334–65.
  • Stock, J. H. and Watson, M. W. (1993) A simple estimator of cointegrating vectors in higher order integrated systems, Econometrica, 61, 783–820. doi:10.2307/2951763
  • Tang, T. C. (2004) Demand for broad money and expenditure components in Japan: an empirical study, Japan and the World Economy, 16, 487–502. doi:10.1016/S0922-1425(03)00037-9
  • Tang, T. C. (2007) Money demand function for Southeast Asian countries: an empirical view from expenditure components, Journal of Economic Studies, 34, 476–96. doi:10.1108/01443580710830952
  • Traa, B. M. (1991) Money demand in the Netherlands, International Monetary Fund Working Paper No. 91/57, IMF, Washington, DC.
  • Valadkhani, A. (2008) Long- and short-run determinants of the demand for money in the Asian-Pacific countries: an empirical panel investigation, Annals of Economics and Finance, 9, 47–60.
  • Wachter, J. and Yogo, M. (2010) Why do household portfolio shares rise in wealth?, Review of Financial Studies, 23, 3929–65. doi:10.1093/rfs/hhq092
  • Westerlund, J. (2006) Testing for panel cointegration with multiple structural breaks, Oxford Bulletin of Economics and Statistics, 68, 101–32. doi:10.1111/j.1468-0084.2006.00154.x
  • Westerlund, J. and Edgerton, D. L. (2007) A panel bootstrap cointegration test, Economics Letters, 97, 185–90. doi:10.1016/j.econlet.2007.03.003
  • Wu, G. (2009) Broad money demand and asset substitution in China, Working Paper No. 131, International Monetary Fund.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.