Prague Economic Papers 2006, 15(4):291-299 | DOI: 10.18267/j.pep.289

Tests of Functional Forms, Currency Substitution, and Capital Mobility of Czech Money Demand Function

Yu Hsing
Charles Blackwell Endowed Professor in Economics, College of Business, Southeastern Louisiana University, Hammond, Louisiana 70402, USA (yhsing@selu.edu).

The demand for real M2 in the Czech Republic is positively influenced by real output and negatively associated with the deposit rate, the koruna/euro exchange rate, and the euro interest rate. The coefficient of real output for the demand for real M1 is insignificant. Hence, depreciation of the koruna or a higher euro interest rate would help raise Czech real output. The Box-Cox transformation test shows that the log-linear form for real M1 and M2 demand cannot be rejected at the 5% level while the linear form for real M1 and M2 demand can be rejected at the 5% level. The CUSUM and CUSUMSQ tests show that parameters in the demand for both real M1 and M2 demand are stable. In comparison, real M2 is a better monetary aggregate.

Klíčová slova: currency substitution, wealth effect, Box-Cox transformation, capital mobility effect, cost of borrowing effect, stability tests
JEL classification: E41, O52

Zveřejněno: 1. leden 2006  Zobrazit citaci

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Hsing, Y. (2006). Tests of Functional Forms, Currency Substitution, and Capital Mobility of Czech Money Demand Function. Prague Economic Papers15(4), 291-299. doi: 10.18267/j.pep.289
Stáhnout citaci

Reference

  1. Arango, S., Nadiri, M.I. (1981), "Demand for Money in Open Economies." Journal of Monetary Economics, 7(1), pp. 69-83. Přejít k původnímu zdroji...
  2. Bahmani-Oskooee, M., Techaratanachai, A. (2001), "Currency Substitution in Thailand." Journal of Policy Modeling, 23(2), pp. 141-1.45. Přejít k původnímu zdroji...
  3. Bahmani-Oskooee, M., Chomsisengphet, S. (2002), "Stability of M2 Money Demand Function in Industrial Countries." Applied Economics, 34(16), pp. 2075-2083. Přejít k původnímu zdroji...
  4. Bahmani-Oskooee, M., Ng, R.C.W. (2002), "Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model." International Journal of Business and Economics, 1, pp. 147155.
  5. Bahmani-Oskooee, M., Rehman, H. (2005), "Stability of the Money Demand Function in Asian Developing Countries." Applied Economics, 37(7), pp. 773-792. Přejít k původnímu zdroji...
  6. Box, G.E.P., Cox, D.R. (1964), "An Analysis of Transformation." Journal of Royal Statistical Society, 26(2), pp. 211-252. Přejít k původnímu zdroji...
  7. Carlson, J.B., Hoffman, D.L., Keen, B.D., Rasche, R.H. (2000), "Results of a Study of the Stability of Cointegrating Relations Comprised of Broad Monetary Aggregate." Journal of Monetary Economics, 46(2), pp. 345-383. Přejít k původnímu zdroji...
  8. Chow, G.C. (1966), "On the Long-Run and Short-Run Demand for Money." Journal of Political Economy, 74(2), pp. 111-131. Přejít k původnímu zdroji...
  9. Cuthbertson, K., Bredin, D. (2001), "Money Demand in the Czech Republic since Transition." Journal of Policy Reform, 4(4), pp. 271-290. Přejít k původnímu zdroji...
  10. Duca, J.V. (2000), "Financial Technology Shocks and the Case of the Missing M2." Journal of Money, Credit, and Banking, 32(4), Part 1, pp. 820-39. Přejít k původnímu zdroji...
  11. Fair, R.C. (1987), "International Evidence on the Demand for Money." Review of Economics and Statistics, 69(3), pp. 473-480. Přejít k původnímu zdroji...
  12. Goldfeld, S.M. (1973), "The Demand for Money Revisited." Brookings Papers on Economic Activity, 3, pp. 577-638. Přejít k původnímu zdroji...
  13. Goldfeld, S.M. (1976), "The Case of the Missing Money." Brookings Papers on Economic Activity, 3, pp. 683-730. Přejít k původnímu zdroji...
  14. Goldfeld, S., Sichel D. (1990), "The Demand for Money," in Handbook of Monetary Economics, by B. M. Friedman and F. H. Hahn, Eds., Volume 1, North-Holland, Amsterdam. Přejít k původnímu zdroji...
  15. Gordon, R.J. (1984), "The Short-Run Demand for Money: A Reconsideration." Journal of Money, Credit, and Banking, 16(4), Part 1, pp. 403-434. Přejít k původnímu zdroji...
  16. Greene, W.H. (2003), Econometric Analysis, fifth edition. Upper Saddle River, NJ: Prentice Hall.
  17. Hafer, R.W., Jansen, D.W. (1991), "The Demand for Money in the United States: Evidence from Cointegration Tests." Journal of Money, Credit, and Banking, 23(2), pp. 155-168. Přejít k původnímu zdroji...
  18. Hetzel, R.L., Mehra Y.P. (1989), "The Behavior of Money Demand in the 1980s." Journal of Money, Credit, and Banking, 21(4), pp. 455-463. Přejít k původnímu zdroji...
  19. Hsing, Y. (2006) "The Roles of the Exchange Rate and the Foreign Interest Rate in Estonian Money Demand Function and Policy Implications." Applied Financial Economics Letters, forthcoming.
  20. Judd, J.L., Scadding, J.L. (1982), "The Search for a Stable Money Demand Function: A Survey of the Post-1973 Literature." Journal of Economic Literature, 20(3), pp. 993-1023.
  21. Klacek, J., Šmídková, K. (1995), "The Demand for Money Function: The Case of the Czech Economy." Czech National Bank Working Paper Series 41, Praha.
  22. Komárek, L., Melecký, M. (2003), "Currency Substitution in a Transitional Economy with an Application to the Czech Republic." Eastern European Economics, 41(4), pp. 72-99. Přejít k původnímu zdroji...
  23. Komárek, L., Melecký, M. (2001), "Demand for Money in the Transition Economy: The Case of the Czech Republic 1993-2001." University of Warwick, Department of Economics, Warwick Economics Research Paper Series (TWERPS).
  24. Laidler, D. (1990), The Demand for Money: Theories, Evidence. and Problems, 3 rd edition. New York: HarperCollins.
  25. Marquez, J. (1987), "Money Demand in Open Economies: A Currency Substitution Model for Venezuela." Journal of International Money and Finance, 6(2), pp. 167-178. Přejít k původnímu zdroji...
  26. McKinnon, R. (1982), "Currency Substitution and Instability in the World Dollar Standard." American Economic Review, 72(3), 320-333.
  27. Mehra, Y.P. (1993), "The Stability of the M2 Demand Function: Evidence from an Error-Correction Model." Journal of Money, Credit, and Banking, 25(3), pp. 455-460. Přejít k původnímu zdroji...
  28. Mehra, Y.P. (1997), "A Review of the Recent Behavior of M2 Demand." Federal Reserve Bank of Richmond Economic Quarterly, 83(3), pp. 27-43.
  29. Phylaktis, K., Taylor, M.P. (1993), "Money Demand, the Cagan Model and the Inflation Tax: Some Latin American Evidence." Review of Economics and Statistics, 75(1), pp. 32-37. Přejít k původnímu zdroji...
  30. Romer, D. (2006), Advanced Macroeconomics, third edition. New York: McGraw-Hill.
  31. Small, D.H., Porter, R.D. (1989), "Understanding the Behavior of M2 and V2." Federal Reserve Bulletin, 75(4), pp. 244-254.
  32. Taylor, M.P. (1991), "The Hyperinflation Model of Money Demand Revisited." Journal of Money, Credit & Banking, Part 1, 23(3), pp. 327-351. Přejít k původnímu zdroji...
  33. Tobin, J. (1958), "Liquidity Preference as Behavior toward Risk." Review of Economic Studies, 25(2), pp. 65-86. Přejít k původnímu zdroji...
  34. Van Aarle, B., Budina, N. (1996), "Currency Substitution and Seignorage in Eastern Europe." Journal of Policy Reform, 1(3), pp. 279-298. Přejít k původnímu zdroji...

Tento článek je publikován v režimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umožňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.