Araştırma Makalesi
BibTex RIS Kaynak Göster
Yıl 2018, Cilt: 10 Sayı: 1, 134 - 149, 01.01.2018

Öz

Kaynakça

  • Adam, C.S. (1991). Financial innovation and the demand for M3 in the UK 1975– 1986. Oxford Bulletin of Economics and Statistics, 53, 401-423.
  • Adam, C., Kessy, P., Nyella, J.J. & O'Connell, S.A. (2010). The demand for money in Tanzania. International Growth Centre, London, UK. http://eprints.lse.ac.uk/36393/. Accessed 2018/05/05.
  • Adrian, T. & Shin, H.S. (2009). Money, liquidity, and monetary policy. American Economic Review, 99(2), 600-605.
  • Akhtaruzzaman, M.D. (2008). Financial development and velocity of money in Bangladesh: A Vector Auto-Regressive Analysis. Bangladesh: Bangladesh Bank Working Paper Series 0806. https://ideas.repec.org/p/ess/wpaper/id2062.html. Accessed 2018/05/08.
  • Akinlo, A.E. (2012). Financial development and the velocity of money in Nigeria: An empirical analysis. The Review of Finance and Banking, 4(2), 97-113.
  • Anderson, R.G. & Rasche, R.H. (2001). The remarkable stability of monetary base velocity in the United States, 1919-1999. Federal Reserve Bank of St. Louis Working Paper Series, (2001-008). file:///C:/Users/10513086/Downloads/2001- 008.pdf. Accessed 2018/05/09.
  • Bahmani-Oskooee, M. (1996). The black market exchange rate and the demand for money in Iran. Journal of Macroeconomics, 18, 171-176.
  • Bahmani-Oskooee, M. & Ng, R.C.W. (2002). Long-run demand for money in Hong Kong: An application of the ARDL model. International Journal of Business and Economics, 1(2), 147-155.
  • Bahmani-Oskooee, M. & Shabsigh, G. (1996). The demand for money in Japan: Evidence from cointegration analysis. Japan and the World Economy, 8, 1-10.
  • Balke, N.S. & Zeng, Z. (2013). Credit demand, credit supply, and economic activity. The BE Journal of Macroeconomics, 13(1), 643-680.
  • Ball, L. (2001). Another look at long-run money demand. Journal of Monetary Economics, 47(1), 31-44.
  • Bernanke, B.S. & Gertler, M. (1995). Inside the black box: The credit channel of monetary policy transmission. Journal of Economic Perspectives, 9(4), 27-48.
  • Bernanke, B.S., Gertler, M. & Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics, 1, 1341- 1393.
  • Bordes, C., Clerc, L. & Marimoutou, V. (2007). Is there a structural break in equilibrium velocity in the Euro Area? Banque de France Working Paper No. 165. SSRN: https://ssrn.com/abstract=1694523. Accessed 2018/06/12.
  • Caporale, G.M. & Gil-Alana, L.A. (2005). Fractional cointegration and aggregate money demand functions. The Manchester School, 73, 737-753.
  • Dritsakis, N. (2012). Structural breaks, cointegration and the demand for money in Greece. IUP Journal of Applied Economics, 11(3), 1-24.
  • Gali, J. & Monacelli, T. (2005). Monetary policy and exchange rate volatility in a small open economy. The Review of Economic Studies, 72(3), 707-734.
  • Gill, K.G. (2000). The third job: Employed couples' management of household work contradictions, Aldershot, England: Ashgate. ISBN 1-84014-304-5
  • Hafer, R.W. & Jansen, D.W. (1991). The demand for money in the United States: Evidence from cointegration tests. Journal of Money, Credit and Banking, 23(2), 155-168.
  • Hafer, R.W. & Kutan, A.M. (1994). Economic reforms and the long-run money demand in China: Implications for monetary policy. Southern Economic Journal, 60, 936-945.
  • Haug, A.A. (1999). Money demand functions: Data span and tests. Conference paper presented at the New Zealand Econometrics Study Group Meeting, Auckland. http://www.econ.canterbury.ac.nz/research/working_papers.shtml. Accessed 2018/05/05.
  • Hoffman, D. & Rasche, R.H. (1991). Long-run income and interest elasticities of money demand in the United States. Review of Economics and Statistics, 73, 665- 674.
  • Hurn, A.S. & Muscatelli, V.A. (1992). The long run properties of the demand for M3 in South Africa. South African Journal of Economics, 60(2), 93-101.
  • Hromcová, J. (2004). On the income velocity of money in a cash-in-advance economy with capital. Working Papers. Serie AD 2004-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). https://core.ac.uk/download/pdf/7150904.pdf. Accessed 2018/06/17.
  • Ireland, P.N. (2010). Monetary transmission mechanism. In Monetary Economics (pp. 216-223). London: Palgrave Macmillan.
  • Johansen, S. (1992). Testing weak exogeneity and the order of cointegration in UK money demand data. Journal of Policy Modeling, 14, 313-334.
  • Jonsson, G. (2001). Inflation, money demand, and purchasing power parity in South Africa. IMF Staff Papers, 48(2), 243-265.
  • Kim, J. (2000). Constructing and estimating a realistic optimising model of monetary policy. Journal of Monetary Economics, 45(2), 329-359.
  • Karfakis, C.I. & Parikh, A. (1993). A cointegration approach to monetary targeting in Australia. Australian Economic Papers, 32, 53-70.
  • Komijani, A. & Nazarian, R. (2004). Behavioral pattern of income velocity of money and estimation of its function (The case of Iran). Iranian Economic Review, 9(11), 21-55.
  • Kumar, S. & Webber, D.J. (2013). Australasian money demand stability: Application of structural break tests. Applied Economics, 45(8), 1011-1025.
  • Kumar, S., Webber, D.J. & Fargher, S. (2013). Money demand stability: A case study of Nigeria. Journal of Policy Modeling, 35(6), 978-991.
  • Leão, P. (2005). Why does the velocity of money move pro-cyclically? International Review of Applied Economics, 19(1), 119-131.
  • Lungu, M., Simwaka, K., Chiumia, A., Palamuleni, A. & Jombo, W. (2012). Money demand function for Malawi: Implications for monetary policy conduct. Banks and Bank Systems, 7(1), 50-63.
  • Maki, D. & Kitasaka, S. (2006). The equilibrium relationship among money, income, prices and interest rates: Evidence from a threshold cointegration test. Applied Economics, 38, 1585-1592.
  • McNown, R. & Wallace, M.S. (1992). Cointegration tests of a long run relationship between demand and the effective exchange rate. Journal of International Money and Finance, 11, 107-114.
  • McPhail, K. (1991). The long-run demand for money, Canada savings bonds and treasury bills in Canada. http://www.esri.go.jp/en/archive/dis/discussion-e.html. Accessed 2018/04/23.
  • Meyer, L.H. (2001). Does money matter? Federal Reserve Bank of St. Louis Review, 83 (September/October 2001).
  • Moll, P.G. (2000). The demand for money in South Africa: Parameter stability and predictive capacity. South African Journal of Economics, 68(2), 80-89.
  • Muscatelli, V.A. & Papi, L. (1990). Cointegration, financial innovation and modelling the demand for money in Italy. The Manchester School, 58(3), 242- 259.
  • Okafor, P.N., Shitile, T.S., Osude, D., Ihediwa, C.C., Owolabi, O.H., Shom, V.C.& Agbadaola, E.T. (2013). Determinants of income velocity of money in Nigeria. Central Bank of Nigeria. Economic and Financial Review, 51, 1-32.
  • Opolot, J. (2007). A re-examination of the demand for money in Uganda: Nature and implications for monetary policy. The Bank of Uganda Staff Papers Journal, 1(1), 5-32.
  • Pesaran, M.H., Shin, Y. & Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Sitikantha, P. & Subhadhra, S. (2011). The velocity crowding-out impact: Why high money growth is not always inflationary. Reserve Bank of India Working Paper Series (WPS (DEPR).
  • Wang, W. & Shi, S. (2006). The variability of velocity of money in a search model. Working Papers tecipa-190, University of Toronto, Department of Economics.

MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS

Yıl 2018, Cilt: 10 Sayı: 1, 134 - 149, 01.01.2018

Öz

Stability of money demand remains an important issue in monetary policy effectiveness. This is because a stable money demand function is an important monetary policy tool in achieving monetary objectives and stability. This paper investigated structural breaks in money demand and its determinants in the South African economy. The study made use of quarterly data obtained from the South African Reserve Bank, from 2003 to 2017, using the Bai-Perron Multiple Breakpoint Tests in conjunction with an ARDL model. The empirical results indicated that the money demand function in South Africa has not undergone regime shifts during the study period. This was further confirmed by means the CUSUM Test. The findings also ascertained that money demand is cointegrated with the interest rate, inflation rate, GDP, the exchange rate and credit to the private sector as a measure of financial development. The results proved that the interest rate and inflation rate have negative and significant effects on the money demand function in the long-run, while GDP is found to have a positive and significant impact. It is concluded that the money demand function in South Africa could be effectively employed in predicting and forecasting monetary policy outcomes.

Kaynakça

  • Adam, C.S. (1991). Financial innovation and the demand for M3 in the UK 1975– 1986. Oxford Bulletin of Economics and Statistics, 53, 401-423.
  • Adam, C., Kessy, P., Nyella, J.J. & O'Connell, S.A. (2010). The demand for money in Tanzania. International Growth Centre, London, UK. http://eprints.lse.ac.uk/36393/. Accessed 2018/05/05.
  • Adrian, T. & Shin, H.S. (2009). Money, liquidity, and monetary policy. American Economic Review, 99(2), 600-605.
  • Akhtaruzzaman, M.D. (2008). Financial development and velocity of money in Bangladesh: A Vector Auto-Regressive Analysis. Bangladesh: Bangladesh Bank Working Paper Series 0806. https://ideas.repec.org/p/ess/wpaper/id2062.html. Accessed 2018/05/08.
  • Akinlo, A.E. (2012). Financial development and the velocity of money in Nigeria: An empirical analysis. The Review of Finance and Banking, 4(2), 97-113.
  • Anderson, R.G. & Rasche, R.H. (2001). The remarkable stability of monetary base velocity in the United States, 1919-1999. Federal Reserve Bank of St. Louis Working Paper Series, (2001-008). file:///C:/Users/10513086/Downloads/2001- 008.pdf. Accessed 2018/05/09.
  • Bahmani-Oskooee, M. (1996). The black market exchange rate and the demand for money in Iran. Journal of Macroeconomics, 18, 171-176.
  • Bahmani-Oskooee, M. & Ng, R.C.W. (2002). Long-run demand for money in Hong Kong: An application of the ARDL model. International Journal of Business and Economics, 1(2), 147-155.
  • Bahmani-Oskooee, M. & Shabsigh, G. (1996). The demand for money in Japan: Evidence from cointegration analysis. Japan and the World Economy, 8, 1-10.
  • Balke, N.S. & Zeng, Z. (2013). Credit demand, credit supply, and economic activity. The BE Journal of Macroeconomics, 13(1), 643-680.
  • Ball, L. (2001). Another look at long-run money demand. Journal of Monetary Economics, 47(1), 31-44.
  • Bernanke, B.S. & Gertler, M. (1995). Inside the black box: The credit channel of monetary policy transmission. Journal of Economic Perspectives, 9(4), 27-48.
  • Bernanke, B.S., Gertler, M. & Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics, 1, 1341- 1393.
  • Bordes, C., Clerc, L. & Marimoutou, V. (2007). Is there a structural break in equilibrium velocity in the Euro Area? Banque de France Working Paper No. 165. SSRN: https://ssrn.com/abstract=1694523. Accessed 2018/06/12.
  • Caporale, G.M. & Gil-Alana, L.A. (2005). Fractional cointegration and aggregate money demand functions. The Manchester School, 73, 737-753.
  • Dritsakis, N. (2012). Structural breaks, cointegration and the demand for money in Greece. IUP Journal of Applied Economics, 11(3), 1-24.
  • Gali, J. & Monacelli, T. (2005). Monetary policy and exchange rate volatility in a small open economy. The Review of Economic Studies, 72(3), 707-734.
  • Gill, K.G. (2000). The third job: Employed couples' management of household work contradictions, Aldershot, England: Ashgate. ISBN 1-84014-304-5
  • Hafer, R.W. & Jansen, D.W. (1991). The demand for money in the United States: Evidence from cointegration tests. Journal of Money, Credit and Banking, 23(2), 155-168.
  • Hafer, R.W. & Kutan, A.M. (1994). Economic reforms and the long-run money demand in China: Implications for monetary policy. Southern Economic Journal, 60, 936-945.
  • Haug, A.A. (1999). Money demand functions: Data span and tests. Conference paper presented at the New Zealand Econometrics Study Group Meeting, Auckland. http://www.econ.canterbury.ac.nz/research/working_papers.shtml. Accessed 2018/05/05.
  • Hoffman, D. & Rasche, R.H. (1991). Long-run income and interest elasticities of money demand in the United States. Review of Economics and Statistics, 73, 665- 674.
  • Hurn, A.S. & Muscatelli, V.A. (1992). The long run properties of the demand for M3 in South Africa. South African Journal of Economics, 60(2), 93-101.
  • Hromcová, J. (2004). On the income velocity of money in a cash-in-advance economy with capital. Working Papers. Serie AD 2004-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). https://core.ac.uk/download/pdf/7150904.pdf. Accessed 2018/06/17.
  • Ireland, P.N. (2010). Monetary transmission mechanism. In Monetary Economics (pp. 216-223). London: Palgrave Macmillan.
  • Johansen, S. (1992). Testing weak exogeneity and the order of cointegration in UK money demand data. Journal of Policy Modeling, 14, 313-334.
  • Jonsson, G. (2001). Inflation, money demand, and purchasing power parity in South Africa. IMF Staff Papers, 48(2), 243-265.
  • Kim, J. (2000). Constructing and estimating a realistic optimising model of monetary policy. Journal of Monetary Economics, 45(2), 329-359.
  • Karfakis, C.I. & Parikh, A. (1993). A cointegration approach to monetary targeting in Australia. Australian Economic Papers, 32, 53-70.
  • Komijani, A. & Nazarian, R. (2004). Behavioral pattern of income velocity of money and estimation of its function (The case of Iran). Iranian Economic Review, 9(11), 21-55.
  • Kumar, S. & Webber, D.J. (2013). Australasian money demand stability: Application of structural break tests. Applied Economics, 45(8), 1011-1025.
  • Kumar, S., Webber, D.J. & Fargher, S. (2013). Money demand stability: A case study of Nigeria. Journal of Policy Modeling, 35(6), 978-991.
  • Leão, P. (2005). Why does the velocity of money move pro-cyclically? International Review of Applied Economics, 19(1), 119-131.
  • Lungu, M., Simwaka, K., Chiumia, A., Palamuleni, A. & Jombo, W. (2012). Money demand function for Malawi: Implications for monetary policy conduct. Banks and Bank Systems, 7(1), 50-63.
  • Maki, D. & Kitasaka, S. (2006). The equilibrium relationship among money, income, prices and interest rates: Evidence from a threshold cointegration test. Applied Economics, 38, 1585-1592.
  • McNown, R. & Wallace, M.S. (1992). Cointegration tests of a long run relationship between demand and the effective exchange rate. Journal of International Money and Finance, 11, 107-114.
  • McPhail, K. (1991). The long-run demand for money, Canada savings bonds and treasury bills in Canada. http://www.esri.go.jp/en/archive/dis/discussion-e.html. Accessed 2018/04/23.
  • Meyer, L.H. (2001). Does money matter? Federal Reserve Bank of St. Louis Review, 83 (September/October 2001).
  • Moll, P.G. (2000). The demand for money in South Africa: Parameter stability and predictive capacity. South African Journal of Economics, 68(2), 80-89.
  • Muscatelli, V.A. & Papi, L. (1990). Cointegration, financial innovation and modelling the demand for money in Italy. The Manchester School, 58(3), 242- 259.
  • Okafor, P.N., Shitile, T.S., Osude, D., Ihediwa, C.C., Owolabi, O.H., Shom, V.C.& Agbadaola, E.T. (2013). Determinants of income velocity of money in Nigeria. Central Bank of Nigeria. Economic and Financial Review, 51, 1-32.
  • Opolot, J. (2007). A re-examination of the demand for money in Uganda: Nature and implications for monetary policy. The Bank of Uganda Staff Papers Journal, 1(1), 5-32.
  • Pesaran, M.H., Shin, Y. & Smith, R.J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Sitikantha, P. & Subhadhra, S. (2011). The velocity crowding-out impact: Why high money growth is not always inflationary. Reserve Bank of India Working Paper Series (WPS (DEPR).
  • Wang, W. & Shi, S. (2006). The variability of velocity of money in a search model. Working Papers tecipa-190, University of Toronto, Department of Economics.
Toplam 45 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular İşletme
Bölüm Araştırma Makalesi
Yazarlar

K.a. Sanusi Bu kişi benim

D.f. Meyer Bu kişi benim

Yayımlanma Tarihi 1 Ocak 2018
Yayımlandığı Sayı Yıl 2018 Cilt: 10 Sayı: 1

Kaynak Göster

APA Sanusi, K., & Meyer, D. (2018). MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS. International Journal of Economics and Finance Studies, 10(1), 134-149.
AMA Sanusi K, Meyer D. MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS. IJEFS. Ocak 2018;10(1):134-149.
Chicago Sanusi, K.a., ve D.f. Meyer. “MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS”. International Journal of Economics and Finance Studies 10, sy. 1 (Ocak 2018): 134-49.
EndNote Sanusi K, Meyer D (01 Ocak 2018) MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS. International Journal of Economics and Finance Studies 10 1 134–149.
IEEE K. Sanusi ve D. Meyer, “MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS”, IJEFS, c. 10, sy. 1, ss. 134–149, 2018.
ISNAD Sanusi, K.a. - Meyer, D.f. “MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS”. International Journal of Economics and Finance Studies 10/1 (Ocak 2018), 134-149.
JAMA Sanusi K, Meyer D. MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS. IJEFS. 2018;10:134–149.
MLA Sanusi, K.a. ve D.f. Meyer. “MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS”. International Journal of Economics and Finance Studies, c. 10, sy. 1, 2018, ss. 134-49.
Vancouver Sanusi K, Meyer D. MONEY DEMAND FUNCTION IN THE SOUTH AFRICAN ECONOMY: EVIDENCE FROM ARDL AND STRUCTURAL BREAKS ANALYSIS. IJEFS. 2018;10(1):134-49.