scholarly journals Endogenous Structural Breaks and the Stability of the Money Demand Function in Saudi Arabia

2013 ◽  
Vol 6 (1) ◽  
Author(s):  
Waheed Abdulrahman Banafea
Keyword(s):  
Saudi Arabia ◽  
Money Demand ◽  
Structural Breaks ◽  
Demand Function ◽  
Money Demand Function ◽  
The Stability ◽  
Endogenous Structural Breaks

scholarly journals Comparative Analysis of the Stability of Money Demand between Côte d’Ivoire And Ghana: An Application of ARDL Model

2017 ◽  
Vol 9 (11) ◽  
pp. 163
Author(s):  
Yao Kouadio Ange-Patrick ◽  
Drama Bédi Guy Hervé
Keyword(s):  
Cote D'ivoire ◽  
Money Demand ◽  
Côte D’Ivoire ◽  
Demand Function ◽  
African Countries ◽  
Money Demand Function ◽  
Cote D’Ivoire ◽  
Côte D'ivoire ◽  
Short Run ◽  
The Stability

This paper empirically examined the broad money demand function and its stability in two West African countries namely Cote d’Ivoire and Ghana covering the period of 1980 to 2015 using the Autoregressive Distributed Lag (ARDL) Bounds testing procedure. The empirical results confirm the stability of the money demand function and support the choice of M2 as a viable instrument for policy implementation in both countries cited above. The study also demonstrates that a long-run relationship exists between money aggregate (M2) and its determinants during the study period. In fact, the real income tends to be the most significant factor explaining the demand for broad money in both countries. In addition, the overall short run estimation of our model is statistically significant for Cote d’Ivoire and insignificant for Ghana at the conventional level. This means that money demand is stable for Cote d’Ivoire in short run and unstable for Ghana in the same period. It is recommended that monetary policy authorities should continue to implement policies that will reinforce macroeconomic stability and facilitate economic growth.

scholarly journals On the (Ir)Relevance of Monetary Aggregate Targeting in Pakistan: An Eclectic View

2013 ◽  
Vol 18 (2) ◽  
pp. 65-119
Author(s):  
Adnan Haider ◽  
Asad Jan ◽  
Kalim Hyder
Keyword(s):  
Monetary Policy ◽  
Money Demand ◽  
Demand Function ◽  
Policy Framework ◽  
Monetary Aggregate ◽  
Money Demand Function ◽  
Financial Innovations ◽  
The Stability ◽  
Nominal Anchor ◽  
Monetary Policy Framework

This study attempts to identify a stable money demand function for Pakistan’s economy, where the monetary aggregate is considered the nominal anchor. With evolving financial innovations and regulations, the stability of money demand has been the focus of numerous debates. Where earlier studies have provided conflicting explanations due to inadequate specifications and imprecise estimations, we find that money demand in Pakistan is stable, if specified properly. For developing countries such as Pakistan, it is important to target monetary aggregates or respond to deviations from the desirable path if monetary policy is to be effectively implemented and communicated; this should remain, if not a primary, then an auxiliary target in the monetary policy framework.

Testing the stability of money demand function in Lesotho

2018 ◽  
Vol 10 (4) ◽  
pp. 383
Author(s):  
Moeti Damane ◽  
Lira P. Sekantsi ◽  
Senei Solomon Molapo
Keyword(s):  
Money Demand ◽  
Demand Function ◽  
Money Demand Function ◽  
The Stability

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.

scholarly journals On the nexus between Stock Market Fluctuations and the Demand for Money in Saudi Arabia

2020 ◽  
Vol 10 (1) ◽  
pp. 142
Author(s):  
Moayad Al Rasasi ◽  
Fares Rawah ◽  
Bander Alghamdi
Keyword(s):  
Saudi Arabia ◽  
Interest Rate ◽  
Money Demand ◽  
Stock Prices ◽  
Demand Function ◽  
Positive Impact ◽  
Demand For Money ◽  
Money Demand Function ◽  
Long Run ◽  
Estimated Error

This research paper estimates the augmented money demand function for Saudi Arabia while incorporating stock prices as one of the key determinants and utilizing quarterly data spanning over the period of 2010-2018. The estimated money demand function coincides with theoretical expectation regarding income and interest rate over long run. In Particular, the demand for money is statistically significant and positively related with income while it’s negatively related with interest rate. On stock prices, the findings suggest that they are statistically significant and have positive impact on money demand over the long run. Moreover, the estimated error correction model indicates that it takes money demand about two quarters to adjust to its equilibrium condition.

Testing the stability of money demand function in Lesotho

2018 ◽  
Vol 10 (4) ◽  
pp. 383
Author(s):  
Moeti Damane ◽  
Lira P. Sekantsi ◽  
Senei Solomon Molapo
Keyword(s):  
Money Demand ◽  
Demand Function ◽  
Money Demand Function ◽  
The Stability

scholarly journals Structural Breaks, Stability and Demand for Money in South Africa

2015 ◽  
Vol 7 (5(J)) ◽  
pp. 79-90
Author(s):  
Sambulo Malumisa
Keyword(s):  
South Africa ◽  
Money Demand ◽  
Structural Breaks ◽  
Demand Function ◽  
Money Demand Function ◽  
Correction Model ◽  
Cointegrating Vector ◽  
Long Run ◽  
Maximum Likelihood Procedure ◽  
Policy Shifts

The paper tests the null hypothesis of a stable long-run money demand in South Africa over the period 1970-2013. We employ the Gregory-Hansen (GH) method to test for the possibility of structural breaks in the money demand function. The Johansen Maximum likelihood procedure is carried out to determine the cointegration vector from which existence of one cointegrating vector is supported. Also based on the GH criterion, there is existence of one cointegrating vector. GH proposes three structural breaks for the money demand function. Results suggest that endogenous breaks occurred in 1991 and 1994. The GH cointegration equations reject M1 whilst M2 and M3 pass and we proceed to estimate the error-correction model. Complemented by the CUSUM and CUSUM of squares, the tests carried out suggest that monetary policy shifts did not introduce instability.

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

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