Testing Endogeneity of Money Supply in Developing Countries using Panel VAR Method

Abstract

This study examines the endogeneity of the money supply in 67 developing countries from 2001 to 2023. Countries are classified into three groups based on the World Bank’s income classification. Using a Panel Vector Autoregressive (PVAR) model and the Granger causality test, the relationships between price level, real GDP, broad money supply, bank loans, and the monetary base are analyzed. Impulse-Response Functions and Forecast-Error Variance Decomposition are used to assess dynamic effects. Findings indicate that the money supply is endogenous and expands through bank lending. The results support the Liquidity Preference view, providing key insights for the design of monetary policy in developing economies.

Keywords

• Endogenous Money
• Panel VAR
• Panel Granger Causality
• Developing Countries
• Monetary Policy

Gelişmekte Olan Ülkelerde Para Arzının İçselliğinin Panel VAR Yöntemi ile Test Edilmesi

Abstract

Bu çalışma, 2001'den 2023'e kadar 67 gelişmekte olan ülkede para arzının içselliğini incelemektedir. Ülkeler Dünya Bankası'nın gelir sınıflandırmasına göre üç gruba ayrılmıştır. Panel Vektör Otoregresif (PVAR) modeli ve Granger nedensellik testi kullanılarak fiyat düzeyi, reel GSYİH, geniş para arzı, banka kredileri ve parasal taban arasındaki ilişkiler analiz edilmiştir. Dinamik etkileri değerlendirmek için Etki-Tepki Fonksiyonları ve Öngörü-Hata Varyans Ayrıştırması kullanılmıştır. Bulgular, para arzının içsel olduğunu ve banka kredileri yoluyla genişlediğini göstermektedir. Sonuçlar Likidite Tercihi görüşünü desteklemekte ve gelişmekte olan ekonomilerde para politikasının tasarımı için önemli bilgiler sağlamaktadır. Translated with DeepL.com (free version)

Keywords

• İçsel Para Teorisi
• Panel VAR
• Panel Granger Nedensellik Testi
• Gelişmekte Olan Ülkeler
• Para Politikası

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