Implementation of Johansen procedure in the estimation of demand for M1 and M2 using the Turkish data
Author
Özdenören, Emre
Advisor
Togan, Subidey
Date
1993Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
This study aims at estimating the money demand function for Turkey using
quarterly data. Estimation is done, for both Ml and M2, using Johansen
procedure, which is a variate of the theory of cointegration.
The results of the Johansen procedure shows that real income is positively
and expected loss is negatively related with demand for Ml and M2. Also, some
linear restrictions are tested, by restricting the money demand coefficients.
The results of these tests show that Tobin-Baumal model and unit elasticity
of income are rejected for both Ml and M2.