TESTING THE VALIDITY OF FORWARD-LOOKING BUFFER STOCK MODEL USING WEIGHTED MONETARY AGGREGATES

Öz

GELECEĞE DÖNÜK TIPA-STOK MODELİNİN TARTILI PARASAL BÜYÜKLÜKLER KULLANILARAK GEÇERLİĞİNİN TEST EDİLMESİ

Öz

Tıpa stok parasal büyüklükler modeli ekonomilerde geçici denge bozukluklarını savunmaktadır. Buna karşın, Divisia parasal büyüklükler modeli ise ekonomik bireylerin (devamlı olarak) ihtiyaçları olan parasal servis miktarına karar verdiklerini, ve bu kararında ekonomik (parasal) dengeyi oluşturduğunu ileri sürmektedir. Birbirine zıt gibi görünse de, özünde her iki teoride açıklanabilir bir para talebi fonksiyonuna dayanmaktadır. Bu makale bu iki teorinin dinamiklerinin birleştirilir olup olmadığını analiz etmek amacını taşımaktadır. Bunun için tıpa-stok parasal modellerinde Divisia tartılı para arzlarının geçerliliği Amerika Birleşik Devletleri verileri için test edilmiştir. Divisia tartılı para arzları en az toplam para arzları kadar reel para dengesi fonksiyonun 1970’lerden bu yana uğradığı kırılmayı iyileştirmekte başarılı olmaktadır. Kullanılan parasal büyüklükler içinde Divisia M1 en hakim parasal büyüklük olarak göze çarpmaktadır.

Anahtar Kelimeler

• Divisia,Para Talebi

Kaynakça

1. [1] BOORMAN, J.T., “The Evidence on the Demand for Money: Theoretical Formulations and Empirical Results", in T. M. Havrilesky and J. T. Boorman, (eds.) Current Issues in Monetary Theory and Policy, Arlington Heights, AHM Publishing Company, IL, 1976, pp.315-361.
2. [2] FRIEDMAN, B.M.; KUTNER, K.N., "Money, Income, Prices and Interest Rates ”, American Economic Review, Vol. 82, 1992, pp.472-491
3. [3] BARNETT, W.A., “Which Road Leads to Stable Money Demand?", The Economic Journal, Vol. 107, 1997, pp.1171-1185.
4. [4] MIZEN, P., Buffer Stock Models and the Demand for Money, St. Martin’s Press, New York, 1994.
5. [5] MIZEN, P., "Microfonndations For A Stable Demand For Money Function ", The Economic Journal, Vol. 107, 1997, pp.1202-1212.
6. [6] BARNETT, W.A., "The User Cost of Money”, Economics Letters, Vol. 1, 1978, pp.145-49.
7. [7] BARNETT, W.A., "Economic Monetary Aggregates: An Application of Index Number and Aggregation Theory", Journal of Econometrics, Vol. 14, September 1980, pp.1202-1212.
8. [8] BELONGIA, M.T., "Measurement Matters: Recent Results front Monetary Economics Reexamined", Journal of Political Economy, Vol. 104, 1996, pp.1065-1083.

9. [9] BELONGIA, M.T., Divisia Monetary Aggregates: Theory and Practice, MacMillan, London, 1996.
10. [10] FRIEDMAN, M., "The Demand for Money: Some Theoretical and Empirical Results", Journal of Political Economy, Vol. 67, 1959, pp.327-51.
11. [11] LAIDLER, D.E.W., "The Rate of Interest and the Demand for Money", Journal of Political Economy, Vol. 74, 1966, pp.545-55.
12. [12] GOLDFELD, S.M., "The Case of Missing Money“, Brookings Papers on Economic Activity, Vol. 3, 1976, pp.683-730.
13. [13] RASCHE, R.H., "M1 Velocity and Interest rates: Do Stable Relationships Exist?”, Carnegie-Rochester Conference Series on Public Policy, Vol. 27, 1987, pp.9- 88.
14. [14] HAFER, R.W., "The Money-GNP Link: Assessing Alternative Transactions Measures", Federal Reserve Bank of St.Louis Review, Vol. 66, 1984, pp.19-27.
15. [15] HOFFMAN, D.L.; RASCHE, R.H., “Long-run Income and Interest Elasticities of Money Demand in the United States”, The Review of Economics and Statistics, Vol. 73, 1991, pp.665-74.
16. [16] BABA, Y.; HENDRY, D.F.; STARR, R.M., “The Demand for MI in the USA: 1960-1988”, Review of Economic Studies,.Vol. 59, 1992, pp.25-60.
17. [17] POOLE, W., “Monetary Policy Lessons ofRecent Inflation and Disiıytlation ”, Journal of Economic Perspectives, Vol. 2, 1988, pp.73-100.
18. [18] Ball, L., "Another Look at Long-Ran Money Demand”, NBER Working Paper No: 6597, NBER, Cambridge, 1998.
19. [19] CUTHBERTSON, K., “Microfoundations and the Demandfor Money?”, The Economic Journal, Vol. 107, 1997, pp.1186-1201.
20. [20] MIZEN, P., "Microfoundations for a Stable Demand for Money Function”, The Economic Journal, Vol. 107, 1997, pp.1202-1212.
21. [21] SAMUELSON, P.A., "What Classical and Neoclassical Monetary Theory Really Was", Canadian Journal of Economics, Reprinted in R. C. Merton (ed.), The Collected Scientific Papers of Paul A. Samuelson, Vol. 3, MIT Press, Cambridge, 1968.
22. [22] FAMA, E., "Banking in the Theory of Finance", Journal of Monetary Economics, Vol. 6, 1980, pp.39-57.
23. [23] HUTT, W.H., Keynesianism-Retrospect and Prospect: A Critical Restatement of Basic Economic Principles, Henry Regnery Company, Chicago, 1963.
24. [24] CHE] [ Y, V.K., "On Measuring the Nearness of the NearMoneys", American Economic Review, Vol.59, 1969, pp.270-81.
25. [25] FRIEDMAN, M.; SCHWARTZ, A., Monetary Statistics of the United States: Estimates, Sources, Methods, Columbia University Press, New York, 1970.
26. [26] BARNETT, W.A., "The Optimal Level of Monetary Aggregation", Journal of Money, Credit, and Banking, Vol. 14, 1982, pp. 687-710.
27. [27] DIEWERT, E., "Exact and Superlative Index Numbers", Journal of Econometrics, Vol. 4, 1986, pp.115-145.
28. [28] DIEWERT, E., "Superlative Index Numbers and Consistency in Aggregation”, Econometrica, Vol.46, 1978, pp.883-900.
29. [29] ANDERSON, R.G.; JONES, B.E.; NESMITH, T.D., "Introduction to the St. Louis Monetary Services Index (MSI) Project", Federal Reserve Bank of St. Louis Review, January/February 1997.
30. [30] DIVISIA, F., "L'indice Monetaire et la Theorie de la Monnaie", Revue d'Economie Politique, 1925, pp.883-900.
31. [31] ANDERSON, R.G.; JONES, B.E.; NESMITH, T.D., "Building New Monetary Services Indices: Concepts, Methodology, and Data”, Federal Reserve Bank of St. Louis Review, JanuarylFebruary 1997.
32. [32] COOLEY, T.F.; HANSEN, G.D., "Money and Business Cycle", in Thomas F. Cooley (ed.) Frontiers of Business Cycle Research, Princeton University Press, New Jersey, 1995.
33. [33] LAIDLER, D.E.W., "The Buffer Stock Nation in Monetary Economics”, The Economic Journal, Vol. 94 (Supplement), 1984, pp.17-33.
34. [34] CARR, J.; DARBY, M., "The Role Of Money Supply Shocks In The Short Rim Money Demand", Journal of Monetary Economics, Vol. 16, 1981, pp.251-257.
35. [35] CUTHBERTSON, K., ”The Demand For M]: A Forward Looking Bujîer Stock Model ”, Oxford Economic Papers, Vol. 40, 1988, pp.110-131.
36. [36] CUTHBERTSON, K.; TAYLOR, M.P., "Monetary anticipations and the demandfor money in the UK: testing rationality in the shock-absorber hypothesis", Journal of Applied Econometrics, Vol. 1 (20), 1986, pp.1-11.
37. [37] CUTHBERTSON, K.; TAYLOR, MP,, "A Comparison Of The Rational Expectations And General To Specific Approach To Modeling The Demand For MI", Manchester School, Vol. 60, 1992, pp.1-22.
38. [38] ENGLE, R.F.; GRANGER, C.W.J., "Cointegration And Error Correction: Representation, Estimation And Testing", Econometrica, Vol. 55, 1987, pp.251-276.
39. [39] JOHANSEN, S., "Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamics and Control, Vol. 12, 1988, pp.231-254.
40. [40] JOHANSEN, S., "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models", Econometrica, Vol. 59, 1991, pp.1551-1580.
41. [41] LUCAS, R.E. Jr., "Equilibrium in a Pure Currency Economy", in J. H. Kareken and N. Wallace (eds.), Models of Monetary Economics, Federal Reserve Bank of Minneapolis, Minneapolis, 1980.
42. [42] MCCALLUM, B., Monetary Economics: Theory and Policy, The Macmillan Publishing Company, New York, 1989.
43. [43] DICKEY, D.A.; FULLER, W.A., "Distribution of the Estimators for Antoregressive Time Series with a Unit Root", Journal of the American Statistical Association, Vol. 74, 1979, pp.427-31.
44. [44] DICKEY, D.A.; FULLER, W.A., "Likelihood Ratio Statisticsfor Antoregressive Time Series with a Unit Root”, Econometrica, Vol. 49, 1981, pp.1057-1072.
45. [45] FULLER, W.A., Introduction to Statistical Time Series, Wiley, New York, 1976.
46. [46] KWIATKOWKSI, D.P.; PHILLIPS, P.C.B.; SCHMIDT, P.; SHIN, Y., "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure are we that Economic Time Series Have a Unit Root?", Journal of Econometrics, Vol. 54, 1992, pp.159-178.
47. [47] JOHANSEN, S.; JUSELIUS, K., "Maximum Likelihood Estimation and Iıycerence on Cointegration-With Application to the Demandfor Money", Oxford Bulletin of Economics and Statistics, Vol. 52, 1990, pp.169-210.
48. [48] HAUG, A.A., "Tests for Cointegration: A Monte Carlo Comparison", Mimeo, Department of Economics, York University, 1993.