Money Demand Function with Asymmetric Adjustment: Evidence on BRICs

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Title:	Money Demand Function with Asymmetric Adjustment: Evidence on BRICs
Authors:	Zhu, Meng-nan;Yu, Hai-Yan;Chang, Hsu-ling;Su, Chi-wei
Contributors:	淡江大學國際貿易學系暨國際企業研究所
Keywords:	Money demand function;threshold autoregressive model;asymmetry adjustment;BRICs
Date:	2011-07
Issue Date:	2013-06-13 11:22:30 (UTC+8)
Publisher:	Lagos: Academic Journals
Abstract:	The long-run equilibrium relationship for the money demand function in the BRICs is investigated by the asymmetrical TAR and M-TAR cointegration tests developed by Enders and Granger (1998), Enders and Siklos (2001). Empirical results indicate that real M2 money balance, real GDP, real exchange rate and deposit rate have a long term relationship under some specific threshold value. Furthermore, we apply asymmetrical error-correction models to test if the money demand of the BRICs exist any nonlinear forms which will be compared with symmetrical error-correction models. Therefore, we find that M2 money demand in the BRICs support the hypothesis of an asymmetrical error correction process and provide better interpretation of macroeconomic meanings in the demand for money.
Relation:	African Journal of Business Management 5(14), pp.5449-5459
DOI:	10.5897/AJBM10.622
Appears in Collections:	[Graduate Institute & Department of International Business] Journal Article

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