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The demand for money in korea: Evidence from the cointegration test

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  • Jae-Kwang Hwang

Abstract

This paper shows that there exists a long-run equilibrium relationship between M2 and its determinants, real income and the long-term interest rate, in Korea by using Johansen and Juselius maximum likelihood cointegration method. However, M1 does not have any meaningful cointegration relationships with its determinants. The long-term interest rate is a better proxy than the short-term rate to measure the opportunity cost of holding money. Based on the results, a broad definition of money is a better measure than a narrow definition of money in considering the long-run economic impacts of changes in monetary policy in Korea. Copyright International Atlantic Economic Society 2002

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  • Jae-Kwang Hwang, 2002. "The demand for money in korea: Evidence from the cointegration test," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 8(3), pages 188-195, August.
    • Handle: RePEc:kap:iaecre:v:8:y:2002:i:3:p:188-195:10.1007/bf02297956
    DOI: 10.1007/BF02297956
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    Cited by:

    1. Muhammad Qasim & Khalil Ahmad & Dr. Muhammad Irfan Chani, 2015. "Exchange Rate Volatility and Money Demand: An Empirical Analysis of Pakistan," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 1(3), pages 131-141, September.
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    3. Maulana Rifki Aditia & Eko Fajar Cahyono, 2018. "Responsiveness Of Social Values And Real Gross Domestic Bruto On Money Demand In Indonesia," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 3(Special I), pages 63-78, May.
    4. Ranjan Paltasingh, Kirtti & Goyari, Phanindra, 2013. "Supply Response in Rainfed Agriculture of Odisha, Eastern India: A Vector Error Correction Approach," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 14(2), pages 1-16.
    5. Muhammad Qasim & Khalil Ahmad & Muhammad Irfan Chani, 2021. "Exchange Rate Volatility and Money Demand: An Empirical Analysis of Pakistan," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 7(1), pages 15-25, March.
    6. Mahmoud Ali AMASSAIB & Mohammed Salih Adam ABDALLA & Tarig GIBREEL, 2022. "Market Efficiency in Agricultural commodities: Vector error correction model (VECM) Approach," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 6(9), pages 174-179, September.
    7. Olubode-Awosola, O.O. & Oyewumi, Olubukola Ayodeju & Jooste, Andre, 2006. "Vector error correction modelling of Nigerian agricultural supply response," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 45(4), pages 1-16, December.
    8. Abdullah, Muhammad & Chani, Muhammad Irfan & Ali, Amjad, 2012. "Determinants of Money Demand in Pakistan: Disaggregated Expenditure Approach," MPRA Paper 50977, University Library of Munich, Germany, revised 2013.
    9. Hassan, Shahid & Ali, Umbreen & Dawood, Mamoon, 2016. "Measuring Money Demand Function in Pakistan," MPRA Paper 75496, University Library of Munich, Germany.

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