The Estimation of Demand for Money by Using Time- Series & co-integration in Iran

اقتصاد پولی مالی

مقاله 5، دوره 14، شماره 20، مهر 1386   

نوع مقاله: بدون عنوان

شناسه دیجیتال (DOI): 10.22067/pm.v14i20.233

نویسندگان

مصطفوی مصطفوی^* ؛ kazem یاوری

چکیده

This paper provides a critical review of the estimation of demand for money in the short and long rum. In doing so, first the main effective factors of the demand for money from the point of view of monetarists is explained. Then a short report about the existing studies on the demand for money in Iranصs economy is presented with special emphasis on their shortcomings and problems. Time-series and co-integration with quarterly data for pure post-revolutionary period are applied. The stationarity of data has been investigated via ADF test. The applied model in this study deals with GDP, inflation, rates of return on foreign exchange and automobiles. Co-integration test has been applied via ADL and Johansen procedures. Findings in this study indicate that GDP and inflation affect money demand in the long-run and those factors plus the mentioned rates of return are effective factors in the short-run.