The stability of money demand in China : evidence from the ARDL model
This study examines the demand for broad money (M2) in China using the autoregressive distributed lag (ARDL) cointegration framework. The results based on the bounds testing procedure confirm that a stable, long-run relationship exists between M2 and its determinants: real income, inflation, foreig...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/17342/ http://psasir.upm.edu.my/id/eprint/17342/1/The%20stability%20of%20money%20demand%20in%20China.pdf |
| _version_ | 1848843215323529216 |
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| author | Baharumshah, Ahmad Zubaidi Mohd, Siti Hamizah Mansur, A. |
| author_facet | Baharumshah, Ahmad Zubaidi Mohd, Siti Hamizah Mansur, A. |
| author_sort | Baharumshah, Ahmad Zubaidi |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study examines the demand for broad money (M2) in China
using the autoregressive distributed lag (ARDL) cointegration framework. The results based on the bounds testing procedure confirm that a stable, long-run relationship exists between M2 and its determinants: real income, inflation, foreign interest rates and stock prices. Importantly, our results reveal that stock prices have a
significant wealth effect on long- and short-run broad money
demand; its omission can lead to serious misspecifications in the money demand function (MDF). This finding is consistent with the notion that asset inflation (deflation) has systematic influence on the pattern of monetary aggregates. |
| first_indexed | 2025-11-15T08:11:29Z |
| format | Article |
| id | upm-17342 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:11:29Z |
| publishDate | 2009 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-173422016-02-03T07:45:27Z http://psasir.upm.edu.my/id/eprint/17342/ The stability of money demand in China : evidence from the ARDL model Baharumshah, Ahmad Zubaidi Mohd, Siti Hamizah Mansur, A. This study examines the demand for broad money (M2) in China using the autoregressive distributed lag (ARDL) cointegration framework. The results based on the bounds testing procedure confirm that a stable, long-run relationship exists between M2 and its determinants: real income, inflation, foreign interest rates and stock prices. Importantly, our results reveal that stock prices have a significant wealth effect on long- and short-run broad money demand; its omission can lead to serious misspecifications in the money demand function (MDF). This finding is consistent with the notion that asset inflation (deflation) has systematic influence on the pattern of monetary aggregates. Elsevier 2009 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/17342/1/The%20stability%20of%20money%20demand%20in%20China.pdf Baharumshah, Ahmad Zubaidi and Mohd, Siti Hamizah and Mansur, A. (2009) The stability of money demand in China : evidence from the ARDL model. Economic Systems, 33 (3). pp. 231-244. ISSN 0939-3625 http://dx.doi.org/10.1016/j.ecosys.2009.06.001 10.1016/j.ecosys.2009.06.001 |
| spellingShingle | Baharumshah, Ahmad Zubaidi Mohd, Siti Hamizah Mansur, A. The stability of money demand in China : evidence from the ARDL model |
| title | The stability of money demand in China : evidence from the
ARDL model |
| title_full | The stability of money demand in China : evidence from the
ARDL model |
| title_fullStr | The stability of money demand in China : evidence from the
ARDL model |
| title_full_unstemmed | The stability of money demand in China : evidence from the
ARDL model |
| title_short | The stability of money demand in China : evidence from the
ARDL model |
| title_sort | stability of money demand in china : evidence from the
ardl model |
| url | http://psasir.upm.edu.my/id/eprint/17342/ http://psasir.upm.edu.my/id/eprint/17342/ http://psasir.upm.edu.my/id/eprint/17342/ http://psasir.upm.edu.my/id/eprint/17342/1/The%20stability%20of%20money%20demand%20in%20China.pdf |