Stability of Money Demand Function in the SAARC Region: A Panel Co-Integration Approach

• 발행기관: 세종대학교 경제통합연구소
• 저자명: Rabindra Nepal Nirash Paija
• 간행물 정보: 『Journal of Economic Integration』제35권 제1호, 111~128쪽, 전체 18쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.03.31

영문 초록

This study explores the causality relationships between money demand, real income, price, and interest rate by focusing on South Asia for the period between 1986 and 2017 using panel data econometrics. Our estimations based on panel auto-regressive distributed lag (ARDL) reveal a significant and positive long-run relationship between real income and money demand, while a negative relationship exists with interest rate and price. The panel vector error correction model causality results highlight a feedback relationship between money demand and real income, but a short-run unidirectional causality between price and interest rate and real income. We also discover long-run bidirectional causality among these variables. Our results indicate that the money demand function was stable in South Asian economies during the time period considered by this study. Therefore, the central bank of these countries can use money supply as an appropriate instrument to manage monetary policy to achieve overall price and macroeconomic stability.

목차

I. Introduction

II. Literature Review

III. Methodology and Data

IV. The Estimation Results

V. Conclusions

키워드

Money Demand Panel ARDL Granger Causality Interest Rate