MULTIRANK COINTEGRATION ANALYSIS OF TURKISH M1 MONEY DEMAND (1987Q1-2006Q3)

Levent Korap ()

Istanbul University Econometrics and Statistics e-Journal, 2007, vol. 6, issue 1, 1-28

Abstract: In our paper, we employ multivariate cointegration analysis to the Turkish M1 narrow money demand. The ex-post estimation results reveal that it is possible to identify a money demand vector in the cointegrating space as a priori hypothesized through economics theory. But some structural break points and parameter instabilities coincided with post-1994 economic crisis period and 2000-stabilization program cast some doubt upon whether the estimated model can represent all the period under investigation. Besides, a second potential vector found in the long-run variable space has been decomposed to reconcile it with excess aggregate demand reacting to the domestic inflation.

Keywords: Money Demand; Aggregate Demand; Turkish Economy; Cointegration; Identification; Super Exogeneity; Structural Breaks; Economic Policy (search for similar items in EconPapers)
JEL-codes: E30 E40 E41 E44 E52 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ist:ancoec:v:6:y:2007:i:1:p:1-28

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