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Forecasting Indonesian money demand function with autoregresive distributed LAG (ARDL) model
This study analyzes the demand for money in Indonesian economy using autoregressive distributed lag (ARDL) cointegration model. The determinant variables used in this study are real income, inflation, exchange rates, and dummy variables for capturing financial shocks in domestic economy. The empirical results show that the coefficient of the determinants provide a significant and expected result; in the M1 money demand model exists a significant evidence of cointegration relationship between M1 and its determinant variables. M1 Model passes necessary diagnostic and stability test and show a satisfied forecasting result with small deviation from its actual value. On the other hand, M2 money demand model shows no evidence of long-run relationship and fail to pass the stability test. This results show the empirical evidence that M1 is more reliable to use as a money demand variable to design an effective monetary policy in Indonesia.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Jurnal BPPK., 2014 |
|---|---|
| Edisi | - |
| Subjek | Monetary policy Monetary economics Money demand Forecasting ARDL Autoregressive distributed lag Cointegration model |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |