Spatial Panel Model and Kernel Estimation: A Case Study of Interactions in Money Growth

Yıl 2022, , 777 - 804, 27.08.2022

Cengiz Arıkan , Yeliz Yalçın , Eray Yücel

https://doi.org/10.26745/ahbvuibfd.1106684

Öz

This paper examines the spatial interaction of monetary policy among the EU and OECD countries from 2007 to 2017, by focusing mainly on the money growth rates of the economies. The effects of economic relationships on money growth have been analyzed using spatial panel models via alternative weight matrices designed to reflect geographic, economic,or institutional proximity. Our spatial analysis of the data revealed the existence of spatial interactions. The results show that there is a spatial interaction between countries in terms of money growth. Any change in money growth within this group of countries has a positive effect on the other countries according to their economic integration or geographical proximity. Moreover, the interaction between trading partners is larger than between geographically or institutionally close partners. On the other hand, we used nonparametric kernel regression to determine the response of money growth to money growth. It turns out that the interaction of money growth with export partners corresponds to an inverse parabolic function.

Anahtar Kelimeler

Monetary Policy, Spatial Model, Spatial Impact, Kernel Estimation

Mekansal Panel Model ve Kernel Tahmini: Para Büyümesi Etkileşimleri Örneği

Öz

Bu çalışmada, Avrupa Birliği (AB) ve/veya Ekonomik İşbirliği ve Kalkınma Teşkilatı (OECD) üyesi ülkelerin para büyüme oranları arasındaki mekânsal etkileşim 2007-2017 dönemi için ele alınmaktadır. Ekonomik ilişkilerin para büyümesi üzerindeki etkileri, coğrafi, ekonomik veya kurumsal yakınlığı yansıtmak için tasarlanmış alternatif ağırlık matrisleri aracılığıyla mekânsal panel modelleri kullanılarak analiz edilmiştir. Elde edilen sonuçlar, para büyümesi açısından ülkeler arasında mekânsal bir etkileşim olduğunu göstermektedir. Bu ülke grubundaki para arzında meydana gelecek pozitif yönlü herhangi bir değişiklik, ekonomik entegrasyonlarına veya coğrafi yakınlıklarına göre diğer ülkeler üzerinde olumlu bir etki yaratmaktadır sonucu tespit edilmiştir. Ayrıca, ticaret partnerleri arasındaki etkileşim özellikle de ihracat partnerleri arasındaki etkileşim, coğrafi veya kurumsal olarak yakın ortaklar arasındaki etkileşimden daha büyük sonucuna da ulaşılmıştır. Ayrıca çalışmada para büyümesinin para büyümelerine tepkisini belirlemek ve şeklini ortaya koymak adına parametrik olmayan kernel regresyon modeli kullanılmıştır. Kernel regresyon modeli tahmini sonuçları ise, parasal büyümenin ihracat ortaklarıyla etkileşiminin ters bir parabolik fonksiyona karşılık geldiği ortaya koymaktadır.

Anahtar Kelimeler

Para Politikası, Mekansal Model, Mekansal Etki, Kernel Tahmincisi

Kaynakça

• Anselin, L. (1988), Spatial Econometrics: Methods and Models First Edit, Dordrecht: Kluwer Academic Publishers.
• Ariff, M., Chung, T. and Shamsher, M. (2012), Money supply, interest rate, liquidity and share prices: A test of their linkage, Global Finance Journal, Vol, 23, 202-220
• Asongu S.A., Folarin O.E., Biekpe N. (2018), The Long Run Stability of Money Demand in the Proposed West African Monetary Union, Research in International Business and Finance, https://doi.org/10.1016/j.ribaf.2018.11.001
• Aydin, Y., Dayiolu, T. and Guner, A. (2019), “Endogeneity of Money Supply: Theory and a Case of Turkey”, The Journal of International Social Research Volume: 12 Issue: 66, 1007-1012.
• Bahmani-Oskooee, M., Bahmani, S., Kutan, A.M. and Xi, D. (2019), On the Asymmetric Effects of Exchange Rate Changes on the Demand for Money: Evidence from Emerging Economies, Journal of Emerging Market Finance, 18(1), pp.1–22
• Bahmani-Oskooee, M., Miteza, I. and Tanku, A. (2020), Exchange rate changes and money demand in Albania: a nonlinear ARDL analysis, Economic Change and Restructuring, https://doi.org/10.1007/s10644-019-09261-9 Access Date: 06.06.2020
• Berument, M. H., Denaux, Z. and Yalcin, Y. (2012) Turkish monetary policy and components of aggregate demand: a VAR analysis with sign restrictions model, Applied Economics, 44:36, 4787-4798
• Bhattarai, K. (2011), Impact of exchange rate and money supply on growth, inflation and interest rates in the UK, International Journal of Monetary Economics and Finance, Vol. 4(4), 355-371
• Capasso, S. and Napolitano, O. (2012), “Testing the Stability of Money Demand in Italy: Has the Euro Influenced the Monetary Transmission Mechanism?, Applied Economics, Vol. 44, pp: 3121–3133.
• Chaisrisawatsuk, S., Sharma, S. C., and Chowdhury, A. R., (2004) “Money demand stability under currency substitution: some recent evidence”, Applied Financial Economics, 14(1), pp. 19-27.
• Corrado, L. and Fingleton, B., (2012), “Where is the Economics in Spatial Econometrics?”, Journal of Regional Science, 52 (2): 210-239.
• Dabrowski, M.A, Papież, M. and Śmiech, S. (2015), Causal Relations between Nominal Exchange Rates and Monetary Fundamentals in Central and Eastern European Countries, Economics of Transition, Vol. 23, Issue 1, pp. 45-73
• Dominguez-Torres, H. and Hierro, L. A. (2019), Are there monetary clusters in Eurozone? The impact of ECB policy, Journal of Policy Modelling, 42, pp. 56-76. Elhorst, J. Paul (2010), “Applied Spatial Econometrics: Raising the Bar”, Spatial Economic Analysis,5 (1): 9-28.
• Elhorst, J. Paul (2014), “Linear Spatial Dependence Models for Cross-Section Data”, Spatial Econometrics from Cross-Sectional Data to Spatial Panels (Berlin, Heidelberg: Springer):5-37.
• Ellington, M. and Milas, C. (2018), Global Liquidity, Money Growth and UK Inflation, https://ssrn.com/abstract=2882494 Access Date: 30.12.2019
• Farazmand, H., Ansari, M.S. and Moradi, M. (2016), What Determines Money Demand Evidence from MENA, Economic Review, Volume 45, Issue 2, 151-169. Floch, J.M. and Saout, R.L. (2018), Handbook of Spatial Analysis Chapter 6. Spatial econometrics - common models, Insee Eurostat, Luxembourg.
• Folarin, O. E., and Asongu, S. A., (2017). “Financial liberalization and long-run stability of money demand in Nigeria”, African Governance and Development Institute Working Paper No. 17/018.
• Fotheringham, A.S. and Rogerson, P.A., (2008), The SAGE Handbook of Spatial Analysis, SAGE Publications, London.
• Giacinti, D. V. (2003), “Differential Regional Effects of Monetary Policy: A Geographical SVAR Approach”, İnternational Regional Science Review,26, 3: 313-341 Hardle, W. (1990). Applied Nonparametric Regression. Cambridge, United Kingdom: Cambridge University Press.
• Hardle, W., Müller, M., Sperlich, S., Werwatz, A. (2004). Nonparametric and Semiparametric Models. Berlin, ABD Virgin Adaları: Springer. Hausman, J.A., (1978), Specification tests in econometrics. Econometrica 46 (6), 1251–1271.
• Hayfield, T. ve Racine, J.S. (2020). np: Nonparametric kernel smoothing methods for mixed datatypes. R package version 0.60-10.
• Hossain, A.A. (2010), Monetary targeting for price stability in Bangladesh: How stable is its Money demand function and the linkage between money supply, growth and inflation, Journal of Asian Economics, Vol. 21, 564-578.
• Ishaq, T. and Mohsin, H.M. (2015), Deficit and inflation; Are monetary and financial institutions worthy to consider or not? Borsa İstanbul Review, Vol. 15, Number:3, 180-191
• Kışla, G. H. and Önder, A Ö. (2018), "Spatial analysis of sovereign risks: The case of emerging markets," Finance Research Letters, Vol. 26(C), pages 47-55.
• Kumar, S., and Webber, D. J. (2013), Australian Money Demand Stability: Application of Structural Break Tests, Applied Economics Vol. 45, pp. 1011–1025
• Lesage, J. ve Pace, R.K.(2009) Introduction to Spatial Econometrics, CRC Press, New York, USA
• Li, Q., & Racine, J. (2007). Nonparametric Econometrics: Theory and Practice. Princeton, Amerika Birleşik Devletleri: Princeton University Press.
• Li, M. and Mohan-Neil, S. (2017), Interest Rates Elasticity of Money Demand in Different States of the Economy, Banking and Finance Review, Vol 9, No 1, pp. 19-26.
• Lu, L. and Lou, S. (2019), The Global Effects of U.S. Monetary Policy on Equity and Bond Markets: A Spatial Panel Data Model Approach, https://ssrn.com/abstract=3508958 Access Date: 06.06.2020
• Mera, V.I. and Silaghi, M.I.P. (2018), Determinants of the Demand for Money in CEE Countries: Updated Evidence, Eastern European Economics, Vol. 56, No. 5, pp. 334-357
• Monnet, C. and Weber, W.E. (2001), Money and Interest Rates, Federal Reserve Bank of Minneapolis Quarterly Review, Vol. 25, No. 4, pp.2–13
• Montecino, J.A. (2018), International Strategic Spillovers of Monetary Policy, http://www.juanmontecino.com/wp-content/uploads/mpolicy_spillover.pdf Access Date: 06.06.2020.
• Nguyen, V.B. (2015), Effects of fiscal deficit and Money M2 supply on inflation: Evidence from selected economies of Asia, Journal of Economics Finance and Administrative Sciences, Vol. 20, 49-53
• Ojede, A. and Lam, E. (2017), The impact of changes in monetary aggregates on exchange rate volatility in a developing country: Do structural breaks matter? Economics Letters, Vol. 155, 111-115
• Oomes, N, and Ohnsorge, F. (2005), Money Demand and Inflation in dollarized economies: The case of Russia, Journal of Comparative Economics, Vol. 33, Sayı 3, 462-483
• Ozdaglı, A.K. and Weber, M. (2017), “Monetary Policy Through Production Networks: Evidence from the Stock Market”, NBER Working Paper Series, 23424, https://www.nber.org/papers/w23424.pdf Access date: 05.01.2019
• Pelipas, I. (2006), Money demand and inflation in Belarus: Evidence from cointegrated VAR, Research in International Business and Finance, Vol. 20, Number 2, 200-214
• Pizzuto, P. (2020), Regional Effects of Monetary Policy in the US: An Empirical Re-Assessment, Economics Letters, Volume 190, May 2020.
• Salima, B.A., Julie, L.G and Lonel, V. (2018), Handbook of Spatial Analysis Chapter 7 Spatial Econometrics on Panel Data, Insee Eurostat, Luxembourg
• Schimek, M. (2000). Smoothing and Regression: Approaches, Computation and Application. Kanada, Kanada: A Wiley-Interscience Publication.
• Su, C.W. (2012), The relationship between exchange rate and macroeconomic variables in China, Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 30, No. 1, 2012, 33-56.
• Tunay, K.B. (2017), Yükselen Ekonomilerde Ekonomik Dengesizliklerin Etkileşimi: Türk Cumhuriyetleri Örneği, Bilig, Number: 83, pp: 171-199.
• Urbanovsky, T. (2016), Interconnection of interest rate, price level, money supply and real GDP: The case of the Czech Republic, Procedia Social and Behavioral Sciences, Vol. 220, 531-540
• Usman, O.A. and Adejare, A.T. (2014), Money Supply, Foreign Exchange Regimes and Economic Growth in Nigeria, Research Journal of Finance and Accounting, Vol.5, No.8, 121-129
• Wu, P.C. and Liu, S.Y. (2017), “Monetary Policy and the Time-Varying Spatial Effects of Bilateral Trade: Evidence from China-ASEAN-5 Countries”, Applied Spatial Analysis and Policy, Vol. 10 Issue 1, pp: 103-120
• Yu, G. and Niu, J. (2019), The Relationship of Economic Fundamentals and Real Exchange Rate between Korea and China, Journal of International Trade & Commerce (J. Int. Trade Commer.) Vol.15, No.2, pp.117-135.