scholarly journals Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
Jun Wei
Keyword(s):  
Money Demand ◽  
Dynamic Equilibrium ◽  
Money Market ◽  
Demand Model ◽  
Demand For Money ◽  
Virtual Economy ◽  
The Interest Rate ◽  
Economic Assets ◽  
Social Wealth ◽  
The Impact

The excess money supply did not lead to a rapid rise in the price index, which in turn triggered inflation. In this case, the redetermination of the demand for money is particularly important. At the same time, with the continuous expansion of the capital market and the rapid development of the virtual economy, the virtual economy is gradually deviating from the real economy. When selecting assets, microentities often incorporate virtual economic assets into investment considerations. Therefore, it is necessary to establish a money demand model that considers the impact of virtual economic assets. This paper uses the asset selection of microentities as the microfoundation to establish a money demand model to explain its economic significance. And based on the money demand model established, a dynamic equilibrium model of the money market was established, and the stability of the dynamic equilibrium point of the money market was verified through mathematical deduction. Based on the dynamic equilibrium model of the money market, the impact of money supply was analyzed. In order to verify the correctness of the aforementioned theory, this paper conducts an empirical analysis. Through cointegration analysis and the vector error correction model (VECM model), the correctness and applicability of the established money demand model are verified, and money demand, total social wealth, spreads between expected stock returns and interest rates, and real estate expectations are found. There is a long-term equilibrium relationship between the rate of return and the interest rate. The total amount of social wealth, the expected rate of return on stocks, and the interest rate spread will have an impact on the demand for money in the short term.

scholarly journals THE IMPACT OF ZAKAT ON MONEY DEMAND FUNCTION: EVIDENCE FROM MUZAKKI IN INDONESIA

2021 ◽  
Vol 7 (2) ◽  
pp. 308
Author(s):  
Atika Rukminastiti Masrifah ◽  
Fajrin Intan Safitri
Keyword(s):  
Money Demand ◽  
Low Income ◽  
Structural Equation ◽  
Reliability And Validity ◽  
State Regulation ◽  
Demand Model ◽  
Demand For Money ◽  
Demand Functions ◽  
Goods And Services ◽  
The Impact

Most research in the Islamic economy on the money demand have employed the Keynesian approach, while in this research money demand functions are derived from a microeconomic approach. Thus, the aim of this study is to test and analyze some of the key factors in Islamic money demand model with the microeconomics-based approach, and then, in accordance with Islamic principles, chooses muzakki as the best sample. The data source for this study is 200 muzakki in Java, with a period of 2020. Structural Equation Modelling (SEM) is adopted to examine the relationship between the seven constructs, i.e., zakat, PLS rate, state, regulation, goods and services, conspicuous consumption, and money demand. The systemic relationship between the structures indicates that the integrated model of demand for money has a strong zakat relationship, while reliability and validity have been established. Zakat plays a key role in applying the established paradigm of demand for money in relation to goods and services. Zakat significantly affects both goods and services as well as models of money demand. This proposed new model equation is intended to help each household economic actor increase the demand for philanthropic money. As many muzakki are spread throughout Indonesia, it is expected that the welfare of the poor and the low-income society will gradually improve and, finally, the distribution of income in Indonesia will be on an equal footing. 

scholarly journals PERILAKU PERMINTAAN UANG DALAM SISTEM MONETER GANDA DI INDONESIA

2008 ◽  
Vol 11 (1) ◽  
Author(s):  
Ascarya Ascarya ◽  
Heni Hasanah ◽  
Noer Azam Achsani
Keyword(s):  
Money Demand ◽  
Conventional System ◽  
Demand For Money ◽  
Monetary System ◽  
Time Deposit ◽  
Demand Deposit ◽  
Demand Deposits ◽  
Demand Variation ◽  
The Interest Rate ◽  
Saving Deposit

The cotemporary dual monetary system is characterized by an interest system in conventional system and the profit-and-loss sharing (PLS) system in Islamic system, where each of them has a different behavior in influencing the money demand and the monetary stability. This study analyses the components of money demand under both the conventional and Islamic financial system in Indonesia, using a Vector Auto Regression (VAR) and Vector Error Correction Model (VECM) methods.The results show that in Islamic system, PLS return negatively correlated with all Islamic demand for money components (currency, Wadiah demand deposit, Mudharabah saving deposit, and Mudharabah time deposit). While in conventional system, interest is negatively correlated with the demand for currency, the demand deposit, and the saving deposit, but positively correlated with the demand for time deposit. The Islamic demand for money stabilizes quiclier to respons the shock from other variables compare to conventional system. Moreover, the interest rate contributes 20%-29% in the conventional demand for money variation, while in PLS system the return almost has no role on Islamic money demand variation. Our research also shows that the savings deposits in Indonesia have the characteristics of the demand deposits, hence preferably included in M1 instead of in M2.These findings suggest the monetary authority to gradually shift their mindset from the conventional monetary operation to the dual monetary operation and explore further the possibility of using PLS return as the “policy rate” benchmark to achieve the principal objectives in maximizing distributive social welfare and justice, as well as minimizing inefficiency.JEL Classification: C32, E31, E41, E52Keywords: Permintaan Uang Konvensional, Permintaan Uang Islam, Sistem Keuangan/Perbankan Ganda, VAR/VECM

scholarly journals Exchange Rate and Demand for Money in Nigeria

2015 ◽  
Vol 7 (2) ◽  
pp. 21
Author(s):  
BigBen Chukwuma Ogbonna
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Money Demand ◽  
Black Market ◽  
Easy Access ◽  
Market Exchange ◽  
Demand Model ◽  
Demand For Money ◽  
Official Exchange Rate

<p>This study is designed to examine empirically the impact of exchange rate on the stability of demand for money in Nigeria where official and black market exchange rates operate side by side due to exchange controls. Variants of money demand model are estimated using monthly data for the period of 2005-2013. Cointegration and system equation techniques combined with CUSUM and CUSUMSQ tests are employed in the data analysis. Results indicate that in all the variants of the money demand model, coefficients of exchange rates variable (official or black market exchange rates) manifest significant <em>t</em> statistics, meaning that the null hypothesis of restricting the coefficients of exchange rates in money demand model in Nigeria is rejected for each variant. This suggests that coefficient of exchange rates variable (OMEXR or BMEXR) belongs to the cointegrating space in all the instances. Judging from the freakiness of the coefficients of the variants of the money demand function and the results of the tests for stability of the models combined, the most appropriate  demand for money function for Nigeria appear to be the one that includes M1, the interest rate, inflation rate, and official exchange rate. This implies that in Nigeria, a greater percentage of the foreign exchange demand may be public sector driven and substantial percentage of the private sector foreign exchange needs is sourced from the official exchange rate market due to the substantial disparity between the two rates. This may mean consumers’ easy access to official exchange rate and transparency in the operation of official exchange rate market in Nigeria.</p>

The Antebellum Money Market and the Economic Impact of the Bank War

1976 ◽  
Vol 36 (4) ◽  
pp. 809-835 ◽  
Author(s):  
Marie Elizabeth Sushka
Keyword(s):  
Economic Impact ◽  
Structural Stability ◽  
Money Demand ◽  
Economic Model ◽  
Money Market ◽  
Financial Behavior ◽  
Demand And Supply ◽  
The Impact ◽  
Panic Of 1837

This paper examines the impact of the Bank War on the economic events of the 1830's. An economic model of the antebellum money market is developed and tested. Specifications for money demand and supply are drawn from contemporary monetary literature and empirically estimated. Next, the historical hypotheses are tested by exploring the structural stability of the model. The results clearly indicate that: the Bank War affected the economy because it altered the pattern of financial behavior; wildcat banking was not characteristic of the post-Bank period; and finally, the Panic of 1837 was the result of a severe monetary contraction.

scholarly journals Ethics de' Competitiveness in Finance: An Emancipative Structured Assessment and Evaluation of Indian Finance Industry

2021 ◽  
pp. 28-42
Author(s):  
Emel Siklar ◽  
Ilyas Siklar
Keyword(s):  
Money Demand ◽  
Transition Period ◽  
Cointegration Analysis ◽  
Demand Model ◽  
Demand For Money ◽  
Economic Agents ◽  
Finance Industry ◽  
Long Run ◽  
Money Holding ◽  
Macroeconomic Determinants

The details of a central bank’s monetary policy are based on assumptions about the money demand. This requires researches that aim to investigate money demand dynamics. Knowing these dynamics will support the identification of risks that may pose a threat to price stability in the long run. This study aims to analyze the changes observed in the demand for money during the last 35 years (1986-2020) in Turkey. When the analyzing period is considered as a whole in the study, it is determined that the demand for money is not stable. However, the nonlinear cointegration analysis used within the framework of soft transition models indicates that the money demand model can be divided into two different regimes with stability. In this case, it is possible to talk about the existence of a transition period in which stability is lost in the demand for money. The analyzing technique used allows the coefficients obtained for money demand to change over time according to the regime in which the economy operates. Nonlinear estimation results indicate that there is a long-term relationship between the demand for money and its macroeconomic determinants such as price level, income, interest rate, and money holding preferences of economic agents.

scholarly journals FORECASTING MONEY DEMAND WITH THE INCLUSION OF FINANCIAL INNOVATION FOR THE ASSOCIATION OF SOUTHEAST ASIAN NATIONS: EVIDENCE FROM PANEL DATA ANALYSIS

2019 ◽  
Vol 1 (1) ◽  
pp. 59-74
Author(s):  
Payam Mohammad Aliha ◽  
Tamat Sarmidi ◽  
Fathin Faizah Said
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Random Effects ◽  
Money Demand ◽  
Fixed Effects ◽  
Random Effects Model ◽  
Fixed Effects Model ◽  
Demand For Money ◽  
Financial Innovations ◽  
The Impact

This paper investigates the impact of financial innovations on the demand for money using a dynamic panel data for 10 ASEAN member states from 2004 to 2012 and attempt to forecast the demand for money during 2013 – 2016 to compare between forecasting performance of the fixed effects model with that of random effects model and also to compare the forecasting accuracy of dynamic forecasting and static forecasting obtained from these two models. An autoregressive model by definition is when a value from a time series is regressed on previous values from that same time series. There are two types of forecasting namely dynamic forecast and static forecast. “Dynamic forecast will take previously forecasted values while static forecast will take actual values to make next step forecast. Panel effects models assist in controlling for unobserved heterogeneity when this heterogeneity is constant over time and correlated (fixed effects) or uncorrelated (random effects) with independent variables. Hausman test indicates that the random-effects model is appropriate. We use the conventional money demand that is enriched with the number of automated teller machines (ATM) to proxy for the effect of financial innovations on money demand. By comparing the magnitude of “Root Mean Squared Error” (RMSE) as a benchmark for the two forecasts (0.1164 for dynamic forecast versus 0.0635 for static forecast) we simply find out that static forecast is superior to dynamic forecast meaning that static forecast provides more accurate forecast compared to a dynamic forecast for the fixed-effects model. Therefore, we conclude the static forecast on the basis of the random-effects model provides the most accurate forecasting. The estimation result of the chosen random-effects regression also indicates the estimated coefficient of ATM is not significant meaning that ATM does not impact money demand in ASEAN countries.

scholarly journals Financial Innovation and Demand for Money in Nigeria

2020 ◽  
pp. 257-268
Author(s):  
Joshua Nsikak Jonah ◽  
Idaka Sunday Egbe ◽  
Eja Basil Richard
Keyword(s):  
Money Demand ◽  
Estimation Method ◽  
Financial Innovation ◽  
Internet Banking ◽  
Ordinary Least Squares ◽  
Mobile Banking ◽  
Demand For Money ◽  
Current Period ◽  
The Stability ◽  
The Impact

This study examined the impact of financial innovation on money demand in Nigeria, using quarterly time series for the period 2009-2019. The dependent variable was money demand, represented by broad money, while the independent variable was financial innovation represented by modern payment channels such as volume of Automated Teller Machines (ATMs) transactions, volume of Point of Sales (POS) transactions, volume of Internet banking transactions, and volume of Mobile banking transactions. The study employed the ordinary least squares (OLS) regression technique as the estimation method within the cointegration, granger causality, and error correction modeling. The result obtained showed that financial innovation has mixed impact on money demand in Nigeria during the period of analysis. For instance, financial innovation has positive impact on money demand through volume of ATM transactions in the current period, two periods lagged of volume of mobile banking transactions, current period and one period lagged of volume of internet banking transactions, and current period’s volume of Point of Sales (POS) transactions in Nigeria. On the other hand, financial innovation has negative impact on money demand through one period lagged of volume of point of sales in Nigeria. On the stability of the demand for money function, the result of the stability tests based on the CUSUM test and CUSUM of squares test showed that the demand for money function was stable during the evaluation period. The study recommended that monetary policy strategy of the central bank of Nigeria (CBN) should be fine-tuned to ensure it is well suited to deal with the challenges posed by financial innovation by way of proliferation of sophisticated payment channels.

scholarly journals Stability of the demand for money in Russia in 2001–2019

2020 ◽  
Vol 26 (10) ◽  
pp. 2328-2345
Author(s):  
R.A. Artsruni
Keyword(s):  
Interest Rate ◽  
Money Demand ◽  
Wald Test ◽  
Demand For Money ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Johansen Cointegration Test ◽  
The Interest Rate ◽  
The Stability

Subject. This article investigates the stability of the money demand in Russia over the 2001Q1 to 2019Q4 period. Objectives. Using econometric tools, the article estimates the long-and short-term relationships between monetary aggregates and their determinants. Methods. For the study, I used the Johansen cointegration test, Vector Error Correction Model (VECM), and the Wald test. Results. The article presents the results of an analysis of the relationships between money demand for M1 and M2 money supply. Conclusions. Understanding the demand for money can be useful if the central bank uses an unconventional monetary policy to regulate zero interest rate. The money demand function may tell how much it is necessary to deflate to raise the interest rate above zero.

The effect of negative policy rates on the interest-rate pass-through mechanism in the eurozone

2019 ◽  
Vol 7 (2) ◽  
pp. 247-262 ◽  
Author(s):  
Yannis Panagopoulos ◽  
Ekaterini Tsouma
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Interest Rates ◽  
Money Market ◽  
Negative Interest Rates ◽  
Time Period ◽  
Pass Through ◽  
The Interest Rate ◽  
The Impact ◽  
The Relationship

This paper examines the impact of the June 2014 switch to negative interest rates (NIRs) by the European Central Bank (ECB) on the operation of the eurozone interest-rate pass-through (IRPT) mechanism. We focus on the relationship between major central-bank policy rates and selected money-market rates. That link is identified as the first stage of the IRPT mechanism and its dynamics are analysed using Granger causality and cointegration techniques for the time period January 2000–June 2017. Our empirical findings indicate a feedback relationship between the ECB policy and the money-market rates in the period prior to June 2014, but that relationship is non-operative when considering only the period of NIRs.

scholarly journals Is There a Change in the Money Demand Stability in Turkey? A Nonlinear Approach

2021 ◽  
pp. 28-42
Author(s):  
Emel Siklar ◽  
Ilyas Siklar
Keyword(s):  
Money Demand ◽  
Transition Period ◽  
Cointegration Analysis ◽  
Demand Model ◽  
Demand For Money ◽  
Economic Agents ◽  
Long Run ◽  
Money Holding ◽  
Demand Stability ◽  
Macroeconomic Determinants

The details of a central bank’s monetary policy are based on assumptions about the money demand. This requires researches that aim to investigate money demand dynamics. Knowing these dynamics will support the identification of risks that may pose a threat to price stability in the long run. This study aims to analyze the changes observed in the demand for money during the last 35 years (1986-2020) in Turkey. When the analyzing period is considered as a whole in the study, it is determined that the demand for money is not stable. However, the nonlinear cointegration analysis used within the framework of soft transition models indicates that the money demand model can be divided into two different regimes with stability. In this case, it is possible to talk about the existence of a transition period in which stability is lost in the demand for money. The analyzing technique used allows the coefficients obtained for money demand to change over time according to the regime in which the economy operates. Nonlinear estimation results indicate that there is a long-term relationship between the demand for money and its macroeconomic determinants such as price level, income, interest rate, and money holding preferences of economic agents.

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