首页    期刊浏览 2024年12月14日 星期六
登录注册

文章基本信息

  • 标题:Identifying The Long-Run Relationship Of Real Money Demand, Real Income And Prime Interest Rates In South Africa
  • 本地全文:下载
  • 作者:Ferdinand Niyimbanira ; Job Dubihlela
  • 期刊名称:International Business & Economics Research Journal
  • 印刷版ISSN:1535-0754
  • 电子版ISSN:2157-9393
  • 出版年度:2013
  • 卷号:12
  • 期号:9
  • 页码:1001-1012
  • 语种:English
  • 出版社:The Clute Institute for Academic Research
  • 摘要:This paper analyses the long-run demand for money in South Africa for the period 1971-2010. In particular, the paper estimates a co-integrated vector autoregression model of the long-run relationship between real money demand, real income and prime interest rate. A variety of theory consistent identification schemes, tests for co-integration, co-integration regression and error-correction-model (ECM) were applied in the order of the estimation approach developed by Johansen (1991). Preliminary data were also subjected to the autocorrelation function. Results show that the estimated elasticities indicate that a long-run equilibrium relationship exists between real money (M2), real income and the prime interest rate in South Africa. As expected, the coefficient of the equilibrium error term was found to be negative and significantly different from zero, implying that 0.227 of discrepancy between real money demand and its explanatory variables is eliminated in the following year. Evidence indicates that the retarded speed of adjustment for real money demand in South Africa needs about one year to re-adjust.
  • 关键词:Monetary Policy;Money Demand;Co-Integrated Vector Autoregression Model;Long-Run Relationship
国家哲学社会科学文献中心版权所有