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Journals / Bankacılar / 2015 / Cilt: 26 - Sayı: 94

Estimating Money Demand Function Using Threshold Vector Autoregressive Model For The Turkish Economy

Eşik Vektör Otoregresif Model ile Türkiye Ekonomisi Para Talebi Fonksiyonu Tahmini

AFŞİN ŞAHİN
Pages
3–24
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results indicate that an inflation and exchange rates are essential variables to explain the money demand function besides the income and interest rate.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this paper, the response of money demand to the income, interest rate, exchange rate and inflation rate shocks have been analyzed among high and low regimes by using Threshold Vector Autoregressive Model (TVAR) for the Turkish monthly data spanning 1990: 01 – 2014: 10.
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Key Findings & Data:The results indicate that an inflation and exchange rates are essential variables to explain the money demand function besides the income and interest rate.
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Conclusion & Impact:Money demand function exhibits a nonlinear behavior and its response diversifies according to the threshold variable chosen and the regime.
🔬Design:Modeling & Simulation
📍Scope:2014 Verileri
⚙️Variables:Domain Parameters

Abstract

In this paper, the response of money demand to the income, interest rate, exchange rate and inflation rate shocks have been analyzed among high and low regimes by using Threshold Vector Autoregressive Model (TVAR) for the Turkish monthly data spanning 1990: 01 – 2014: 10. The results indicate that an inflation and exchange rates are essential variables to explain the money demand function besides the income and interest rate. Money demand function exhibits a nonlinear behavior and its response diversifies according to the threshold variable chosen and the regime.

Özet

Bu çalışmada aylık 1990: 01 – 2014: 10 Türkiye verisi ile yüksek ve düşük rejimlerde gelir, faiz, döviz kuru ve enflasyon oranı şokları karşısında para talebi fonksiyonun tepkisi Eşik Vektör Otoregresif Model (TVAR) yardımıyla incelenmektedir. Çalışma bulguları, gelir ve faiz oranı yanında, enflasyon ve döviz kurunun da para talebi fonksiyonu davranışlarını açıklamakta önemli değişkenler olduğuna işaret etmektedir. Para talebi fonksiyonu doğrusal olmayan davranış sergilemekte ve tepkisi eşik değişkene ve rejime göre farklılaşmaktadır. Bu çalışmanın bir kısmı hazırlanırken Gazi Üniversitesi Bilimsel Araştırma Projeleri Programı, Bilimsel Araştırma Projesi No. 53/2012-01 tarafından verilen destekten faydalanılmıştır.

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Cite This Article

ŞAHİN, A. (2015). Estimating Money Demand Function Using Threshold Vector Autoregressive Model For The Turkish Economy. Bankacılar, Cilt: 26 - Sayı: 94, 3–24. https://ajindex.com/articles/148316

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