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

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.

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MODEL PERMINTAAN UANG DI INDONESIA DENGAN PENDEKATAN VECTOR ERROR CORRECTION MODEL

Quantitative Economics Journal ◽

10.24114/qej.v5i3.17486 ◽

2020 ◽

Vol 5 (3) ◽

Author(s):

Imam Mukhlis

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Error Correction ◽

Error Correction Model ◽

Vector Error Correction Model ◽

Demand For Money ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error ◽

Long Run

This research aims to estimate the demand for money model in Indonesia for 2005.22015.12. The variables used in this research are demand for money, interest rate, inflation, and exchange rate (IDR/US$). The stationary test with ADF used to test unit root in the data. Cointegration test applied to estimate the long run relationship between variables. This research employed the Vector Error Correction Model (VECM) to estimate the money demand model in Indonesia. The results showed that all the data was stationer at the difference level (1%). There were long run relationship between interest rate, inflation and exchange rate to demand for money in Indonesia. The VECM model could not explain interaction between explanatory variables to independent variables. In the short run, there were not relationship between interest rate, inflation and exchange rate to demand for money in Indonesia for 2005.2-2015.12.

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LA (IN)ESTABILIDAD DE LA DEMANDA DE DINERO EN COLOMBIA, 2003-2020

Investigación Económica ◽

10.22201/fe.01851667p.2022.319.79236 ◽

2021 ◽

Vol 81 (319) ◽

pp. 141

Author(s):

Esther Barros Campello ◽

Carlos Pateiro Rodríguez ◽

Venancio Salcines Cristal

Keyword(s):

Money Demand ◽

Unit Root ◽

Ordinary Least Squares ◽

Vector Error Correction Model ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error ◽

Long Run ◽

Type Test ◽

The Stability

En este trabajo realizamos un análisis empírico de la evolución del agregado monetario M3 y de sus componentes en Colombia, con el propósito de evaluar las propiedades de estabilidad de cada uno de los activos que forman M3. El análisis se realiza con base en pruebas de raíces unitarias y cointegración. La estacionariedad de las series se estudia mediante las pruebas de ADF-GLS y M-type test, así como con pruebas que consideran la posibilidad de cambio estructural. El estudio prosigue empleando el modelo de vectores de corrección de errores (VECM) y mínimos cuadrados ordinarios totalmente modificados (FMOLS) para estimar la relación de largo plazo entre los componentes de M3 y las variables macroeconómicas determinantes. Los resultados obtenidos nos permiten afirmar que la estabilidad de la demanda de los diferentes componentes de M3 se mantiene, a pesar de distintos shocks que han afectado a la economía colombiana durante estos años. THE (IN)STABILITY OF MONEY DEMAND IN COLOMBIA, 2003-2020ABSTRACTAn empirical analysis is made of the evolution of M3 and its components in Colombia during the period 2003-2020. The purpose is to evaluate the stability of each of the assets that make up the aggregate M3. Unit-root and co-integration tests are used. The stationarity of the series is studied by ADF-GLS and M-type tests, as well as with tests that incorporate the possibility of structural change. In the following we implement two different methodologies to estimate the long-run relationship between M3 components and the macroeconomic determinant variables [Vector Error Correction Model (VECM) and Fully Modified Ordinary Least Squares (FMOLS)]. The results obtained allow us to affirm that the stability of the demand of the different components of M3 is maintained, in spite of different shocks that have affected the Colombian economy over these years.

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Application of threshold vector error correction model (TVECM) in describing adjustment of interest rate of working capital credit to BI rate movement

Journal of Science & Science Education ◽

10.24246/josse.v1i2p31-43 ◽

2017 ◽

Vol 1 (2) ◽

pp. 31-43

Author(s):

Gama Putra Danu Sohibien

Keyword(s):

Interest Rate ◽

Selection Criteria ◽

Working Capital ◽

Correction Model ◽

Vector Error Correction ◽

Policy Tool ◽

Vector Error ◽

Bank Behavior ◽

The Interest Rate ◽

Better Than

Knowledge about bank behavior in adjusting the interest rate to BI rate movement is important not only for debtors to make a decision to borrow money, but also for government to know whether BI rate as a monetary policy tool success in influencing the movement of interest rate. The approach used for analyzing the data in this paper is TVECM. The data used in this paper are interest rate of working capital credit of conventional bank and BI rate of January 2008–July 2016. Bank is more agressive in correcting the disequilibrium by increasing the interest rate of working capital credit than decreasing it. Interest rate of working capital credit is significantly adjusted by bank approximately 64.95% of its disequilibrium when the disequilibrium is lower than 0.96. When it is between 0.96 and 0.76, interest rate of working capital credit will be adjusted approximately 11.87% of its disequilibrium.When it is higher than 0.76, interest rate of working capital credit will be adjusted approximately 11.88% of its disequilibrium. Moderate interest rate of working capital credit based on BI rate consideration is between 1.74 BI rate –0.96 and 1.74 BI rate +0.76. According to the selection criteria values, TVECM is better than VECM and VAR in modeling relationship between BI rate and interest rate of working capital.

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The Impacts of Government Spending and Monetary Policy Rate in Indonesia

European Journal of Business Management and Research ◽

10.24018/ejbmr.2021.6.6.1176 ◽

2021 ◽

Vol 6 (6) ◽

pp. 183-187

Author(s):

Yuniarto Hadiwibowo ◽

Akhmad Priharjanto

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Money Demand ◽

Government Spending ◽

Banking Sector ◽

Correction Model ◽

Money Balance ◽

Vector Error Correction ◽

Vector Error ◽

Policy Interest

This study reviews the impacts of government policies on the economy. The period of analysis starts from early banking sector reform until the current Covid-19 pandemic crisis. We apply Vector Error Correction Model based on the theory of money demand and inflation to analyze the relationships among income, inflation, money balance, government spending, and policy interest rate. The impacts of money balance and policy interest rate on income are as predicted by money demand. Financial sector growth and different expectation on inflation affect the efficacy of monetary policy. On the other hand, government spending might not be fully growth-enhancing. The need emerges to classify and distinguish the classes of government spending which increase growth.

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Does Fiscal Deficit Affect Interest Rate in India? An Empirical Investigation

Jindal Journal of Business Research ◽

10.1177/2278682116680925 ◽

2016 ◽

Vol 5 (2) ◽

pp. 87-103 ◽

Cited By ~ 3

Author(s):

Ritu Rani ◽

Naresh Kumar

Keyword(s):

Interest Rate ◽

Error Correction ◽

Money Supply ◽

Real Interest Rate ◽

Vector Error Correction Model ◽

Fiscal Deficit ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error ◽

Long Run

Fiscal deficit above a certain limit is not good for the country because high government borrowings raise the interest rate and crowd out private investment. This article is an attempt to analyze the impact of fiscal deficit on real interest rate in India over the time period of 1980–1981 to 2013–2014. Autoregressive distributed lags bound testing approach for cointegration and vector error correction model for Granger casualty are used in a multivariate framework in which money supply and inflation are included as additional variables. Bound test results confirm the long-run equilibrium relationship among the competing variables. Further, the rate of interest and fiscal deficit are positively related with each other in long run, whereas money supply and inflation are found to be negative and statistical significant. In addition, results of vector error correction model showed that there is unidirectional causality running from inflation to real interest rate in short run. Based on the findings, it is suggested that that proper fiscal consolidation is required to control high fiscal deficit and burgeoning interest rate in India. Further, government should move from market borrowing to tax revenue to offset fiscal deficit.

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THE CAUSAL RELATIONSHIP BETWEEN INSURANCE AND ECONOMIC GROWTH IN NIGERIA (1986-2010)

Australian Journal of Business and Management Research ◽

10.52283/nswrca.ajbmr.20120212a07 ◽

2012 ◽

Vol 02 (12) ◽

pp. 49-57

Author(s):

TAIWO AKINLO

Keyword(s):

Economic Growth ◽

Interest Rate ◽

Causal Relationship ◽

Causality Test ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error ◽

Long Run ◽

Short Run

This study examined the causal relationship between insurance and economic growth in Nigeria over the period 1986-2010. The Vector Error Correction model (VECM) was adopted. The cointegration test shows that GDP, premium, inflation and interest rate are cointegrated when GDP is the edogeneous variable. The granger causality test reveals that there is no causality between economic growth and premium in short run while premum, inflation and interest rate Granger cause GDP in the long run which means there is unidirectional causality running from premium, inflation and interest rate to GDP. This means insurance contributes to economic growth in Nigeria as they provide the necessary long-term fund for investment and absolving risks.

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Interest rate, inflation and stock market performance in Ghana : a sector based vector error correction model perspective

African Journal of Business and Economic Research ◽

10.31920/1750-4562/2021/v16n1a8 ◽

2021 ◽

Vol 16 (1) ◽

pp. 185-206

Author(s):

Ebenezer Larbi Asiedu ◽

Daniel Mireku-Gyimah ◽

Kofi Kamasa ◽

Henry Otoo

Keyword(s):

Interest Rate ◽

Stock Market ◽

Error Correction ◽

Market Performance ◽

Error Correction Model ◽

Vector Error Correction Model ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error ◽

Stock Market Performance

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Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand

Studies in Nonlinear Dynamics & Econometrics ◽

10.1515/snde-2013-0091 ◽

2015 ◽

Vol 19 (3) ◽

Author(s):

Lenard Lieb ◽

Bertrand Candelon

Keyword(s):

Error Correction ◽

Money Demand ◽

Parameter Instability ◽

Vector Error Correction ◽

Testing Framework ◽

Vector Error ◽

The Us ◽

Short Run ◽

The Stability ◽

The One

AbstractIn this paper we analyze the stability of the money demand system in the US. To this aim, we develop an estimation and testing framework for a threshold vector error-correction model (VECM), where short-run dynamics are regime dependent and are driven by an exogenous, stationary and ergodic threshold variable. We modify a traditional Wald-type test for linearity and derive its asymptotic distribution, which turns out to be non-standard, but similar to the one proposed by Andrews [Andrews, D. 1993. “Tests for Parameter Instability and Structural Change with Unknown Change Point.”

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Integrasi Indeks Saham Pada Bursa Negara Kawasan Asia Pasifik

Jurnal Manajemen dan Kearifan Lokal Indonesia ◽

10.26805/jmkli.v4i1.81 ◽

2020 ◽

Vol 4 (1) ◽

pp. 30

Author(s):

I Wayan Tresna Wira Sentana ◽

I Gde Kajeng Baskara

Keyword(s):

Stock Market ◽

Stock Markets ◽

Asia Pacific ◽

Cointegration Test ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error ◽

Johansen Cointegration ◽

Johansen Cointegration Test ◽

Positive Correlation Coefficient

Financial liberalization that occur in many countries in the world will cause stock market in that countries are integrated. Asia Pacific stock markets are very potential for investors to investing their capital because the Asia Pacific stock markets are very potential to make maximum returns for the investors. The aim of this researches are to analyze integration that occur in the Asia Pacific stock markets and to know that Asia Pacific stock markets are suitable for investors to diversifying their portfolio. This research are using the closing price of the Asia Pacific stock markets from April 2011 – March 2019 using Johansen cointegration test and vector error correction model. The result shows that Asia Pacific stock markets are integrated shows with seven cointegrating values in Johansen cointegration test and investors cannot diversifying their portfolio in the Asia Pacific stock market because of positive correlation coefficient values from all of the variables

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Empirical evidence on Non-Performing Loans and credit frictions: banking sector in Tunisia

International Journal of Financial, Accounting, and Management ◽

10.35912/ijfam.v2i3.191 ◽

2020 ◽

Vol 2 (3) ◽

pp. 171-183

Author(s):

Salha Ben Salem ◽

◽

Moez Labidi ◽

Nadia Mansour ◽

◽

...

Keyword(s):

Interest Rate ◽

Error Correction ◽

Money Supply ◽

Banking Sector ◽

Vector Error Correction Model ◽

Correction Model ◽

Vector Error Correction ◽

Vector Error ◽

Market Interest Rate ◽

Credit Frictions

Purpose: This paper explores the most important determinants of friction in the Tunisian credit market. The previous literature argued that friction is largely explained by the increase in Non-Performing Loans Nkusu, 2011; Abadi et al. 2014; Rulyasri et al.2017, Roland et all, 2013. Research methodology: We constructed a multivariate Vector Error Correction Model, with five macroeconomic variables (industrial production index, the money supply, money market interest rate) to examine the impact of Non-Performing Loans increase in amplifying the Tunisian credit frictions. Results: The Vector Error Correction Model (VECM) regression results show a negative and important relationship between economic growth and Non-Performing Loans (NPL) ratio, which is very robust during the political crisis of 2011. The money market interest rate and the money supply are positively related to the Non-Performing loan ratio. Limitation: This study was only focused on Tunisian banking sector as one of the pillars of the Tunisian economy. Contributions: This highlights that the nature of the monetary policy adopted by the monetary authority of Tunisia plays a significant role in the fluctuation of the Non-Performing Loans ratio. Bank capitalization is positively and statistically significant with Non-Performing Loan ratio, implying that banks with a low level of capital are more likely to have a riskier credit portfolio that causes the increase of Non-Performing Loans in their balance sheet.

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