Author/Authors
GENCER, Salih Çukurova Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - İktisat Bölümü, Turkey , ARISOY, İbrahim Çukurova Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - İktisat Bölümü, Turkey
Title Of Article
The Estimation of Long Run Broad Money Demand (M2Y) in Turkey : Evidence from Time Varying Parameters Approach
شماره ركورد
44404
Abstract
This paper attempts to estimate the long run money demand for Turkish economy by examining the empirical relationship among real money, real income, interest rate, inflation and exchange rate. To this end, both constant (ARDL bounds test) and a time-varying coefficients model based on Kalman filter technique are employed over the period 1989Q1-2010Q4, characterized by financial crises, high inflation and exchange rate fluctuations in Turkey. ARDL bounds test results indicate that there is a long-run relationship between real money, real income, the exchange rate, inflation and interest rate. The long run relationship is finally estimated by a time-varying parameters model. The estimation results show that both real income and exchange rate have positive effect on real money demand, whereas inflation and interest rate have a negative effect on real money demand.
From Page
515
NaturalLanguageKeyword
Money demand , ARDL , time , varying parameters , kalman filter , central bank.
JournalTitle
Ege Academic Review (EAR)
To Page
526
JournalTitle
Ege Academic Review (EAR)
Link To Document