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AN ANALYSIS OF MONEY DEMAND STABILITY IN AZERBAIJAN BY USING ARDL APPROACH

Year 2018, Volume: 14 Issue: 1, 21 - 34, 01.01.2018
https://doi.org/10.17130/ijmeb.2018137571

Abstract

This study aims to investigate the relationship between money demand and its determinants and to test the stability of money demand function in Azerbaijan. For this purpose, money demand function was estimated by using ARDL Model and quarterly data from Q1 2006 to Q4 2016. The stability of coefficients were tested by using Cusum and CusumQ tests. Income level, interest rate and exchange rate are considered as determinants of money demand. Findings of bound test supports cointegration relationship. In addition, Cusum and CusumQ tests show that coefficients of money demand function that predicted in ARDL model are shows stability characteristics

References

  • Akinlo, A. E. (2006). The stability of money demand in Nigeria: An autoregressive distributed lag approach. Journal of Policy Modeling, 28(4), 445-452.
  • Altıntaş, H. (2008). Türkiye’de para talebinin istikrarı ve sınır testi yaklaşımıyla öngörülmesi: 1985-2006. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 30, 15-46.
  • Atgür, M., & Altay, N. O. (2015). Enflasyon hedeflemesi sürecinde para talebi istikrarının ARDL modeli yaklaşımı ile analizi: Türkiye ve Endonezya örneği. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 10(1), 79-97.
  • Bahmani-Oskooee, M. (2001). How stable is M2 money demand function in Japan? Japan and the World Economy, 13(4), 455-461.
  • Bahmani-Oskooee, M., & Karacal, M. (2006). The demand for money in Turkey and currency substitution. Applied Economics Letters, 13(10), 635-642.
  • Baumol, W. J. (1952). The transactions demand for cash: An inventory theoretic approach. Quarterly Journal of Economics, 66(4), 545-556.
  • Dickey, D. A., & Wayne, A. F. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
  • Dutkowsky, D. H., & Atesoglu, H. S. (2001). The demand for money: A structural econometric investigation. Southern Economic Journal, 68(1), 92-106.
  • Ewing, B. T., & Payne, J. E. (1999). Long-run money demand in Chile. Journal of Economic Development, 24(2), 177-190.
  • Gencer, S., & Arısoy, İ. (2013). Türkiye’de uzun dönem geniş para (M2Y) talebinin tahmini: Zamanla değişen katsayılar yönteminden bulgular. Ege Akademik Bakış, 13(4), 515- 526.
  • 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.
  • Hamori, N., & Hamori, S. (1999). Stability of the money demand function in Germany. Applied Economics Letters, 6(5), 329-332.
  • Foresti, P., & Napolitano, O. (2013). Modelling long-run money demand: A panel data analysis on nine developed economies. Applied Financial Economics, 23(22), 1707-1719.
  • Friedman, M. (1956). Studies in the quantity theory of money. University of Chicago Press.
  • Karfakis, C., & Opoulos, M. S. (2000). On the stability of the long-run money demand in Greece. Applied Economics Letters, 7(2), 83-86.
  • Khan, A. H. (1980). The demand for money in Pakistan: Some further results. The Pakistan Development Review, 19(1), 25-50.
  • Koğar, Ç. İ. (1995). Cointegration test for money demand: The case for Turkey and Israel. Central Bank of the Republic of Turkey, Research Department, Discussion Papers, 9514.
  • 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.
  • Ordóñez, J. (2003). Stability and non-linear dynamics in the broad demand for money in Spain. Economics Letters, 78(1), 139-146.
  • Özcan, B., & Arı, A. (2013). Para talebinin belirleyenleri ve istikrarı üzerine bir uygulama: Türkiye örneği. Yönetim ve Ekonomi Dergisi, 20(2), 105-120.
  • Özçalık, M. (2014). Money demand function in Turkey: An ARDL approach. Sosyal ve Ekonomik Araştırmalar Dergisi, 14(27), 359-373.
  • Özdemir, K. A., & Saygılı, M. (2013). Economic uncertainty and money demand stability in Turkey. Journal of Economic Studies, 40(3), 314-333.
  • Iyoboyi, M., & Pedro, L. M. (2013). The demand for money in Nigeria: Evidence from bounds testing approach. Business and Economics Journal, 76, 1-13.
  • Mundell, R. A. (1963). Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics and Political Science, 29(4), 475-485.
  • Pesaran, M. H., Shin, S., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75(2), 335-346.
  • Pierce, D. G., & Tysome, P. J. (1985). Monetary economics: Theories, evidence and policy. Second Edition, Butterworth, London.
  • Rao, B. B., & Kumar, S. (2011). Is the US demand for money unstable?. Applied Financial Economics, 21(17), 1263-1272.
  • Tobin, J. (1956). The interest elasticity of the transactions demand for cash. Review of Economics and Statistics, 38(3), 241-247.
  • Yay, G. G. (2012). Para ve finans, teori – politika. İstanbul: İstanbul Bilgi Üniversitesi Yayınları.
  • Yılancı, V. (2012). Türkiye’de para talebi istikrarlılığının testi: Kayan pencerelerde sınır testi yaklaşımı. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 33, 67-74.
  • Valadkhani, A. (2005). Modelling demand for broad money in Australia. Australian Economic Papers, 44(1), 47-64.

AZERBAYCAN İÇİN PARA TALEBİ İSTİKRARININ ARDL YAKLAŞIMI İLE ANALİZİ

Year 2018, Volume: 14 Issue: 1, 21 - 34, 01.01.2018
https://doi.org/10.17130/ijmeb.2018137571

Abstract

Bu çalışmada, Azerbaycan’da para talebi ve para talebinin belirleyicileri arasındaki ilişkinin ve para talebi fonksiyonunun istikrarlılığının incelenmesi amaçlanmıştır. Bu amaçla, 2006 Q1 – 2016 Q4 dönemine ait üçer aylık veri kullanılarak ARDL Modeli dahilinde para talebi fonksiyonu tahmin edilmiştir ve Cusum ve CusumQ testleri aracılığıyla tahmin edilen modelin istikrarlı olup olmadığı araştırılmıştır. Modelde gelir düzeyi, faiz oranı ve döviz kuru para talebinin belirleyicileri olarak dikkate alınmıştır. Sınır testi bulguları para talebi ve açıklayıcı değişkenler arasında koentegrasyon ilişkisini desteklemektedir. Cusum ve CusumQ testleri ise ARDL modeli dahilinde tahmin edilen para talebi fonksiyonu katsayılarının istikrarlı olduğu yönünde sonuçlar sunmuştur.

References

  • Akinlo, A. E. (2006). The stability of money demand in Nigeria: An autoregressive distributed lag approach. Journal of Policy Modeling, 28(4), 445-452.
  • Altıntaş, H. (2008). Türkiye’de para talebinin istikrarı ve sınır testi yaklaşımıyla öngörülmesi: 1985-2006. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 30, 15-46.
  • Atgür, M., & Altay, N. O. (2015). Enflasyon hedeflemesi sürecinde para talebi istikrarının ARDL modeli yaklaşımı ile analizi: Türkiye ve Endonezya örneği. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 10(1), 79-97.
  • Bahmani-Oskooee, M. (2001). How stable is M2 money demand function in Japan? Japan and the World Economy, 13(4), 455-461.
  • Bahmani-Oskooee, M., & Karacal, M. (2006). The demand for money in Turkey and currency substitution. Applied Economics Letters, 13(10), 635-642.
  • Baumol, W. J. (1952). The transactions demand for cash: An inventory theoretic approach. Quarterly Journal of Economics, 66(4), 545-556.
  • Dickey, D. A., & Wayne, A. F. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
  • Dutkowsky, D. H., & Atesoglu, H. S. (2001). The demand for money: A structural econometric investigation. Southern Economic Journal, 68(1), 92-106.
  • Ewing, B. T., & Payne, J. E. (1999). Long-run money demand in Chile. Journal of Economic Development, 24(2), 177-190.
  • Gencer, S., & Arısoy, İ. (2013). Türkiye’de uzun dönem geniş para (M2Y) talebinin tahmini: Zamanla değişen katsayılar yönteminden bulgular. Ege Akademik Bakış, 13(4), 515- 526.
  • 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.
  • Hamori, N., & Hamori, S. (1999). Stability of the money demand function in Germany. Applied Economics Letters, 6(5), 329-332.
  • Foresti, P., & Napolitano, O. (2013). Modelling long-run money demand: A panel data analysis on nine developed economies. Applied Financial Economics, 23(22), 1707-1719.
  • Friedman, M. (1956). Studies in the quantity theory of money. University of Chicago Press.
  • Karfakis, C., & Opoulos, M. S. (2000). On the stability of the long-run money demand in Greece. Applied Economics Letters, 7(2), 83-86.
  • Khan, A. H. (1980). The demand for money in Pakistan: Some further results. The Pakistan Development Review, 19(1), 25-50.
  • Koğar, Ç. İ. (1995). Cointegration test for money demand: The case for Turkey and Israel. Central Bank of the Republic of Turkey, Research Department, Discussion Papers, 9514.
  • 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.
  • Ordóñez, J. (2003). Stability and non-linear dynamics in the broad demand for money in Spain. Economics Letters, 78(1), 139-146.
  • Özcan, B., & Arı, A. (2013). Para talebinin belirleyenleri ve istikrarı üzerine bir uygulama: Türkiye örneği. Yönetim ve Ekonomi Dergisi, 20(2), 105-120.
  • Özçalık, M. (2014). Money demand function in Turkey: An ARDL approach. Sosyal ve Ekonomik Araştırmalar Dergisi, 14(27), 359-373.
  • Özdemir, K. A., & Saygılı, M. (2013). Economic uncertainty and money demand stability in Turkey. Journal of Economic Studies, 40(3), 314-333.
  • Iyoboyi, M., & Pedro, L. M. (2013). The demand for money in Nigeria: Evidence from bounds testing approach. Business and Economics Journal, 76, 1-13.
  • Mundell, R. A. (1963). Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics and Political Science, 29(4), 475-485.
  • Pesaran, M. H., Shin, S., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75(2), 335-346.
  • Pierce, D. G., & Tysome, P. J. (1985). Monetary economics: Theories, evidence and policy. Second Edition, Butterworth, London.
  • Rao, B. B., & Kumar, S. (2011). Is the US demand for money unstable?. Applied Financial Economics, 21(17), 1263-1272.
  • Tobin, J. (1956). The interest elasticity of the transactions demand for cash. Review of Economics and Statistics, 38(3), 241-247.
  • Yay, G. G. (2012). Para ve finans, teori – politika. İstanbul: İstanbul Bilgi Üniversitesi Yayınları.
  • Yılancı, V. (2012). Türkiye’de para talebi istikrarlılığının testi: Kayan pencerelerde sınır testi yaklaşımı. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 33, 67-74.
  • Valadkhani, A. (2005). Modelling demand for broad money in Australia. Australian Economic Papers, 44(1), 47-64.
There are 33 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Seymur Ağazade

Publication Date January 1, 2018
Published in Issue Year 2018 Volume: 14 Issue: 1

Cite

APA Ağazade, S. (2018). AZERBAYCAN İÇİN PARA TALEBİ İSTİKRARININ ARDL YAKLAŞIMI İLE ANALİZİ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 14(1), 21-34. https://doi.org/10.17130/ijmeb.2018137571