 Global Financial Crisis of 2008, Asymmetric Effects of Exchange Rate Changes, and Stability of the Demand for Money in JapanMohsen Bahmani-Oskooee and Jungho Baek Journal of Reviews on Global Economics, 2016, vol. 5, 273-280 Abstract: We wonder if Global Financial Crisis of 2008 affected stability of the demand for money in Japan. In testing this hypothesis we deviate from previous studies which either excluded the exchange rate from money demand function in Japan or have not been able to find any significant relation between the exchange rate and the demand for money. While we address stability of the demand for money, we show that failure to find a cointegrating relation or significant effects could be due to assuming a linear model in which exchange rate changes have symmetric effects. Once we consider a nonlinear ARDL approach of Shin et al.’s (2014), we show that not only variables in the money demand are cointegrated but exchange rate changes have asymmetric effects. In the long run, while appreciation of yen has significantly positive effect on the demand for money in Japan, depreciation does not. We also find a stable money demand which was not affected by 2008 financial crisis. Keywords: Nonlinear ARDL Approach; Symmetry versus Asymmetry; Money Demand; Japan. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:lif:jrgelg:v:5:y:2016:p:273-280 Access Statistics for this article Journal of Reviews on Global Economics is currently edited by Michael McAleer and Chia-Lin Chang More articles in Journal of Reviews on Global Economics from Lifescience Global |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.