Monetary dynamics: evidence from cointegration and error correction modeling: the case of Turkey

Abstract

This paper addresses Lhe issue of Les-Ling Lhe cointegration relationship for a conventional money demand function and constructing an error correction model CECMD of it to analyze both long-run and short run dynamics by using Turkish quarterly data during the period 1977:1-1989:4. The assumption that all the determinants of the long run money demand function are endogenous allowed the construction of ECM in vector autoregressive CVARD form. This became much helpful on the examination of temporal causality characteristics of the long run Turkish money demand function.