scholarly journals Time-varying money demand and real balance effects

2020 ◽  
Vol 87 ◽  
pp. 197-211 ◽  
Author(s):  
Jonathan Benchimol ◽  
Irfan Qureshi
Keyword(s):  
Money Demand ◽  
Time Varying ◽  
Real Balance

scholarly journals Time-Varying Money Demand and Real Balance Effects

2019 ◽  
Vol 2019 (364) ◽  
Author(s):  
Jonathan Benchimol ◽  
◽  
Irfan Qureshi ◽  
Keyword(s):  
Money Demand ◽  
Time Varying ◽  
Real Balance

scholarly journals Structural Breaks dan Ketidakstabilan Permintaan Uang di Indonesia

2017 ◽  
Vol 17 (2) ◽  
pp. 169-183
Author(s):  
Deviyantini Deviyantini ◽  
Iman Sugema ◽  
Tony Irawan
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Demand ◽  
Structural Breaks ◽  
Demand Function ◽  
Series Data ◽  
Time Varying ◽  
Money Demand Function ◽  
Time Varying Parameter

Structural Breaks and Instability of Money Demand in IndonesiaThis research aims to identify the sources of instability of the money demand function (M1 and M2) due to structural changes that occur as a result of economic shocks. These shocks, are technically shown by the presence of structural breaks in the data and can lead the parameters non-constancy. The instability of the money demand function was analyzed using the Gregory and Hansen test. The source of instability of the money demand was identified using time varying parameter model. This research used quarterly time series data from 1993Q1 to 2013Q4. The result of Gregory and Hansen test indicates there is no long term equilibrium between variables (money demand, income, domestic interest rate, foreign interest rate, exchange rate, and inflation) in the model, neither M1 nor M2 model. On the other word, money demand function is unstable. The source of the instability is exchange rate variable.Keywords: Stability Money Demand; Structural Breaks; Time Varying Parameter ModelAbstrakPenelitian ini bertujuan untuk mengidentifikasi sumber-sumber ketidakstabilan fungsi permintaan uang (M1 dan M2) akibat dari perubahan struktural yang terjadi karena adanya guncangan ekonomi. Guncangan tersebut, yang secara teknis ditunjukkan oleh keberadaan structural breaks di dalam data, dapat menyebabkan parameter menjadi tidak konstan. Ketidakstabilan fungsi permintaan uang dianalisis dengan menggunakan Gregory and Hansen test. Sumber ketidakstabilan dari permintaan uang diidentifikasi dengan menggunakan time varying parameter model. Penelitian ini menggunakan data time series dalam bentuk kuartalan dari 1993Q1 sampai 2013Q4. Hasil Gregory and Hansen test menunjukkan bahwa tidak ada keseimbangan jangka panjang di antara variabel-variabel (permintaan uang, pendapatan, suku bunga domestik, suku bunga luar negeri, nilai tukar, dan inflasi) di dalam model, baik pada model M1 maupun M2. Dengan kata lain, fungsi permintaan uang tidak stabil. Sumber ketidakstabilan tersebut berasal dari variabel nilai tukar.

Money demand in China and time-varying cointegration

2011 ◽  
Vol 22 (3) ◽  
pp. 330-343 ◽  
Author(s):  
Haomiao Zuo ◽  
Sung Y. Park
Keyword(s):  
Money Demand ◽  
Time Varying

scholarly journals Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter

2019 ◽  
Vol 23 (1) ◽  
pp. 137-160
Author(s):  
Eduardo Lima Campos ◽  
Rubens Penha Cysne
Keyword(s):  
Kalman Filter ◽  
Interest Rate ◽  
Kalman Filtering ◽  
Money Demand ◽  
Welfare Cost ◽  
Time Variability ◽  
Time Varying ◽  
Welfare Cost Of Inflation ◽  
The Interest Rate

This paper compares the time-varying cointegration and the Kalman filter techniques to estimate the Brazilian money demand between 1996 and 2015. The estimation using Kalman filtering performs better and is subsequently used to calculate the welfare cost of inflation. Taking into consideration the time variability of the interest-rate elasticity during the period, the average welfare cost amounts to 0.24% of the GDP, for an average annual inflation of 6.63%.

scholarly journals STRUCTURAL BREAKS DAN KETIDAKSTABILAN PERMINTAAN UANG DI INDONESIA

2018 ◽  
Vol 6 (2) ◽  
pp. 47-60
Author(s):  
Deviyantini Deviyantini ◽  
Iman Sugema ◽  
Tony Irawan
Keyword(s):  
Money Demand ◽  
Structural Breaks ◽  
Structural Changes ◽  
Demand Function ◽  
Time Series Data ◽  
Series Data ◽  
Time Varying ◽  
Economic Shocks ◽  
Money Demand Function ◽  
Time Varying Parameter

This research aims to identify the sources of instability of the money demand function (M1 and M2) due to structural changes that occur as a result of economic shocks. These shocks are technically shown by the presence of structural breaks in the data and can lead the parameters non-constancy. The instability of the money demand function was analyzed using the Gregory and Hansen test. The source of instability of the money demand was identified using time varying parameter model. This research used quarterly time series data from 1993Q1 to 2013Q4. The results show that the money demand function (M1 dan M2) is not cointegrated (unstable) and the source of the instability is exchange rate variable. Keywords: Stability money demand, Structural breaks, Time varying parameter model

scholarly journals STRUCTURAL BREAKS DAN KETIDAKSTABILAN PERMINTAAN UANG DI INDONESIA

2018 ◽  
Vol 6 (2) ◽  
pp. 47-60
Author(s):  
Deviyantini Deviyantini ◽  
Iman Sugema ◽  
Tony Irawan
Keyword(s):  
Money Demand ◽  
Structural Breaks ◽  
Structural Changes ◽  
Demand Function ◽  
Time Series Data ◽  
Series Data ◽  
Time Varying ◽  
Economic Shocks ◽  
Money Demand Function ◽  
Time Varying Parameter

This research aims to identify the sources of instability of the money demand function (M1 and M2) due to structural changes that occur as a result of economic shocks. These shocks are technically shown by the presence of structural breaks in the data and can lead the parameters non-constancy. The instability of the money demand function was analyzed using the Gregory and Hansen test. The source of instability of the money demand was identified using time varying parameter model. This research used quarterly time series data from 1993Q1 to 2013Q4. The results show that the money demand function (M1 dan M2) is not cointegrated (unstable) and the source of the instability is exchange rate variable. Keywords: Stability money demand, Structural breaks, Time varying parameter model

scholarly journals A TIME-VARYING APPROACH OF THE US WELFARE COST OF INFLATION

2017 ◽  
Vol 23 (2) ◽  
pp. 775-797 ◽  
Author(s):  
Stephen M. Miller ◽  
Luis Filipe Martins ◽  
Rangan Gupta
Keyword(s):  
Money Demand ◽  
Inflation Rate ◽  
Income Elasticity ◽  
Welfare Cost ◽  
Time Varying ◽  
Sample Period ◽  
Welfare Cost Of Inflation ◽  
Us Economy ◽  
The Us ◽  
Invariant Estimation

Money-demand specifications exhibit instability, especially for long spans of data. This paper reconsiders the welfare cost of inflation for the US economy using a flexible time-varying (TV) cointegration methodology to estimate the money-demand function. We find evidence that the TV cointegration estimation provides a better fit of the actual data than a time-invariant estimation and that the throughout unitary income elasticity only exists for the log–log form over the entire sample period. Our estimate of the welfare cost of inflation for a 10% inflation rate lies in the range of 0.025–0.75% of gross domestic product (GDP) and averages 0.27%. In sum, our findings fall well within the ranges of existing studies of the welfare cost of inflation. We find that the welfare cost averages 7.4% higher during expansions than recessions for 10% inflation rate. Finally, the interest elasticity of money demand shows substantial variability over our sample period.

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