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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

Author

Listed:
  • 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)

  • Fathin FAIZAH SAID

    (Dr. at Faculty of Economics and Management, Universiti Kebangsaan Malaysia (UKM), Malaysia)

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.

Suggested Citation

  • Payam MOHAMMAD ALIHA & Tamat SARMIDI & Fathin FAIZAH SAID, 2018. "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," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(1), pages 19-26, June.
    • Handle: RePEc:hrs:journl:v:x:y:2018:i:1:p:19-26
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    References listed on IDEAS

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    More about this item

    Keywords

    money demand; ARCH/GARCH; financial innovation; internal/external shock;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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