Browsing by Subject "Monetary Aggregates"

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    Econometric modelling of the monetary aggregates in Turkey
    (1998) Recberoglu, Sevgi
    The aim of this thesis is modelling the demand for money in Turkey with cointegration techniques. For this purpose, monetary aggregates of M l, M2, M2y, M3a, M3, and LO are tested with differing variables for the period of 1987-1997. The largest model tries to explain the money demand by means of real income, interest rates on time deposits, interest rates on treasury bills, and inflation variable. Since cointegration requires certain properties on data, in the thesis, first the time series properties of the data set are investigated. Then cointegration and weak exogeneity are tested. Due to the invalidity of weak exogeneity for many of the variables, in the next stage, for each money definition an ECM model is formulated. The results obtained from both cointegration tests investigating the long-run money demand and ECM models examining the temporal causality between reel money stock and the long-run determinants of the money demand strongly suggest the existence of a stationary long-run money demand in Turkey. Furthermore the diagnostic test results of the ECM models show that the money demand functions in Turkey have the parameter constancy property despite the financial reforms effects in the stated period, high and volatile inflation rates, and especially 1994 financial crisis.