Error-correction based panel estimates of the demand for money of selected Asian countries with the extreme bounds analysis

Kumar, Saten; Rao, B. Bhaskara

doi:10.1016/j.econmod.2012.04.008

Cited by 12 publications

(11 citation statements)

References 54 publications

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“…In the short run interest rate have a significant effect on the money demand [5], [6], [7], [8], [9], [10]. In the short run real income have a significant effect on the money demand [5], [11], [9]. In the short run inflation and exchange rate have a significant effect on the money demand [5], [8], [12], [13].…”

Section: Literature Reviewmentioning

confidence: 99%

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The Variables Affecting The Volatility of E-Money in Indonesia and Thailand

Aimon¹,

Sentosa²,

Mahatir³

2021

Proceedings of the First International Conference of Economics, Business &Amp; Entrepreneurship, ICEBE 2020, 1st October 2020,

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Section: Literature Reviewmentioning

confidence: 99%

“…In the short run inflation and exchange rate have a significant effect on the money demand [5], [8], [12], [13]. In the long run real income have a significant effect on the money demand [5], [7], [12], [14], [11], [15], [16], [9], [10].…”

Section: Literature Reviewmentioning

confidence: 99%

The Variables Affecting The Volatility of E-Money in Indonesia and Thailand

Aimon¹,

Sentosa²,

Mahatir³

2021

Proceedings of the First International Conference of Economics, Business &Amp; Entrepreneurship, ICEBE 2020, 1st October 2020,

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“…The negative coefficient of error correction term ECM t-1 shows that there is a tendency for short-term money demand to exceed the long-term monetary demand. Therefore, it is necessary to effectively regulate money demand (Kumar & Rao, 2012).…”

Section: Ecm Model Estimationmentioning

confidence: 99%

The determinants of money demand in China

Dou

2018

Cogent Economics & Finance

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Money demand and its stability have a great impact on the economy of a country. Because China's financial and monetary system has been in reform, there are many uncertainties in money demand. Especially, China's money demand has its own particularity. This paper studies the determinants of China's money demand through building a linear econometric model and SVAR model. The empirical results show that China's money demand is mainly decided by income, interest rate and expected inflation rate. However, other factors, such as financial innovation, government debt, capital mobility and currency substitution, play a relatively small role, mainly because China's financial and monetary system has been under reform. The regression results of sample data from different periods show that money demand in China is unstable, indicating that China's macro-economy has certain risks. This finding suggests that China should adopt prudent financial and monetary policies to cope with the uncertainty of money demand in the future.

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“…The other terms involve I(0) variables since they are expressed in differences. Kumar and Rao (2012) state that an equation involving all I(0) variables can be estimated using any of the classical estimation methods. We use the OLS and the quantile regression methods for estimation.…”

Section: Idiosyncratic Risk-return Relationship and The Panel Error-cmentioning

confidence: 99%

Does persistence in idiosyncratic risk proxy return-reversals?

Nath

Sarafidis

2017

JBFE

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Understanding the return-reversal phenomenon observed to generate large abnormal profits under some stock market trading strategies is of considerable interest in finance. There is also much debate over the use of idiosyncratic risk as a predictor in asset pricing models when it is persistent. This paper, using the Australian data, presents new empirical evidence of return-reversals at the firm level and the existence of an equilibrium state based on robust econometric methodology of panel error-correction model. The method exploits the persistence in idiosyncratic risk and builds on its cointegration with the returns series. Our results reveal the tendency of long-run returns to restore equilibrium, reversals in short-run returns, a slower recovery to equilibrium by small stocks, and while the short-run responses of returns to changes in log book-to-market ratios are positive, their reaction to persistence in idiosyncratic volatility causes the reversal process. The pattern in quantile dependent coefficients of short-run idiosyncratic risk-return relationship suggests that (i) the changes in idiosyncratic volatility risk adversely affects the short-run returns of low performing stocks but investments in high performing stocks benefit from such changes; (ii) the increasing trend in the coefficients implies a quadratic relationship in the levels of the two series. The significant marginal effects of changes in idiosyncratic volatility and its one period lagged values on changes in returns at many quantiles support the impact being due to persistence in idiosyncratic risk, and their reversing signs provide an evidence of reversion in short-run returns.

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Error-correction based panel estimates of the demand for money of selected Asian countries with the extreme bounds analysis

Cited by 12 publications

References 54 publications

The Variables Affecting The Volatility of E-Money in Indonesia and Thailand

The Variables Affecting The Volatility of E-Money in Indonesia and Thailand

The determinants of money demand in China

Does persistence in idiosyncratic risk proxy return-reversals?

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