INVESTIGATING THE IMPACT OF FINANCIAL INNOVATION ON THE VOLATILITY OF THE DEMAND FOR MONEY IN THE UNITED STATED IN THE CONTEXT OF AN ARCH/GARCH MODEL

Payam MOHAMMAD Aliha (), Tamat Sarmidi () and Fathin Said
Additional contact information
Payam MOHAMMAD Aliha: Ph.D candidate, Universiti Kebangsaan Malaysia (UKM), Malaysia
Tamat Sarmidi: Associate Professor Dr. at Faculty of Economics and Management, Universiti Kebangsaan Malaysia (UKM), Malaysia

Regional Science Inquiry, 2018, vol. X, issue 1, 19-26

Abstract: This paper investigates the effect of financial innovation on real money demand in the United States using GARCH estimation technique between 1990 and 2016. Ratios of broad money stock to GDP and growth in net domestic credit to GDP were included in a conventional money demand function to account for the financial innovation. The results indicate that neither external shocks (financial innovation) nor internal shocks (previous years' information) influence the volatility of the money demand.

Keywords: money demand; ARCH/GARCH; financial innovation; internal/external shock (search for similar items in EconPapers)
JEL-codes: C13 C40 C51 E40 E44 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.rsijournal.eu/ARTICLES/June_2018/2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hrs:journl:v:x:y:2018:i:1:p:19-26

Access Statistics for this article

Regional Science Inquiry is currently edited by Dr Christos Ap. Ladias

More articles in Regional Science Inquiry from Hellenic Association of Regional Scientists
Bibliographic data for series maintained by Dimitrios K. Kouzas ().