The impact of symmetric and asymmetric exchange rate fluctuations on demand for money in Pakistan
Bibliographic Data
| ID | 12549706 |
|---|---|
| Authors | Abdul Hannan (0000-0001-7553-1840, Economics Discipline, Newcastle Business School, University of Newcastle, Newcastle, Australia, corresponding author), Tahira Ishaq (Economics Discipline, Newcastle Business School, University of Newcastle, Newcastle, Australia) |
| Year | 2021 |
| Volume | 28 |
| Issue | 1 |
| Pages | 261-283 |
| Publication date | 2021-02-04 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of the Asia Pacific Economy (JOURNAL) |
| Journal identifiers | ISSN: 1354-7860 • E-ISSN: 1469-9648 |
| Publisher | Routledge (PUBLISHER • GB) |
| DOI | 10.1080/13547860.2021.1880040 |
| OpenAlex | W3126893665 |
| Language | EN |
| References cited | 62 |
A growing body of recent literature identifies the exchange rate as an important determinant of demand for money along with income and interest rate, but these studies assume the symmetric effect of exchange rate on demand for money. In contrast, this study argues that the exchange rate can have an asymmetric effect on money demand. Therefore, we estimate the symmetric and asymmetric impact of real effective exchange rate on demand for money from 1974 to 2019 for Pakistan using the symmetric and asymmetric autoregressive distributed lag model (ARDL). The estimated symmetric ARDL model shows insignificant impact of the real effective exchange rate on demand for money while the asymmetric ARDL results show that the impact of currency depreciation on money demand is positive and significant, suggesting substitution effect. Moreover, the stability of the money demand function highlights the role of monetary aggregates in the conduct of monetary policy
Aggregate demand · Broad money · Currency · Currency substitution · Demand curve · Demand for money · Demand shock · Depreciation (economics · Distributed lag · Econometrics · Economics · Exchange rate · Foreign exchange risk · Interest rate · Microeconomics · Monetary economics · Monetary policy · Speculative demand · Economic theories and models · Economic Theory and Policy · Monetary Policy and Economic Impact
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
The Transactions Demand for Cash
Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates
Techniques for Testing the Constancy of Regression Relationships Over Time
Bounds testing approaches to the analysis of level relationships
Maximum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money
The Interest-Elasticity of Transactions Demand For Cash
| Highly cited | No |
|---|