Policy Uncertainty and the Demand for Money in Australia: an Asymmetry Analysis
Mohsen Bahmani‐Oskooee and
Majid Maki Nayeri
Authors registered in the RePEc Author Service: Mohsen Bahmani-Oskooee ()
Australian Economic Papers, 2018, vol. 57, issue 4, 456-469
Previous research has considered the impacts of both monetary and output uncertainty on the demand for money in Australia using a linear model and found that while output volatility has significantly positive effects, money supply volatility does not. Furthermore, the predictive power of the linear model was very low. In this paper, we use a nonlinear model and a new measure of uncertainty known as policy uncertainty and show that this new measure has significantly long‐run asymmetric effects on the demand for money in Australia. Due to the nonlinear adjustment of policy uncertainty measure, the new nonlinear model has a very high predictive power. The adjusted R2 moves from 0.30 in the linear model to 0.80 in the nonlinear model.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Working Paper: Policy Uncertainty and the Demand for Money in Australia: An Asymmetry Analysis (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:ausecp:v:57:y:2018:i:4:p:456-469
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0004-900X
Access Statistics for this article
Australian Economic Papers is currently edited by Daniel Leonard
More articles in Australian Economic Papers from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().