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Title: |
Stability of the Demand for Money in Korea |
| Author: |
Bahmani-Oskooee, Mohsen; Shin, Sungwon |
| Author
Affiliation: |
U WI,
Milwaukee; POSCO Center, Seoul |
| Source: |
International Economic Journal, Summer 2002, v. 16, no. 2, pp. 85-95 |
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Publication Date: |
Summer 2002 |
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Abstract: |
Cointegration
technique is now a common method of estimating any money demand
function. Couple studies that applied this technique to money demand in
Korea, interpreted their finding of cointegration as a sign of stable
money demand. In this paper we show that even though M2 monetary
aggregate is cointegrated with income, interest rate and exchange rate,
application of CUSUM and CUSUMSQ tests to the residuals of an
error-correction model reveal that it is unstable. |
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