چکیده:
This study estimates the demand for broad money in Iran through
multivariate Cointegration analysis as proposed by Johansen and
Juselius and tests the validity of the estimated model through forecasting
money demand for several periods Using stochastic simulation
technique. The study obtained one unique cointegrated long run
relationship among the logarithmic forms of Broad Money, National
Income, Exchange Rate, Price Index and Oil Prices. After identification
of exogenous variables, system of equation was designed and estimated
by OLS method. Model was solved by considering two scenarios:
Baseline and Scenario1.In the Baseline the variables were considered
endogenous and in the Scenario 1, Price Index and Oil Price were
regarded as exogenous. This model was solved with stochastic
simulation approach and give dynamic forecast of the variables. The
results show that there is trivial difference between actual values and
amount forecasted under Scenario1. On the other hand, forecasted
amounts by Baseline scenario have relatively substantial deviations from
the actual outcomes, though they do seem to follow the general trends in
the data very well.
خلاصه ماشینی:
"(1992) confirmed the results by Hafer and Jansen (1991) study by finding a stable cointegrating money demand function for real M1 and variables: real GNP, one month Treasury bill rate, inflation rate, yield on M1 and moving standard deviation of holding periods on long term bonds.
Ericsson (1998) found one cointegrating vector in the study of demand for money using M1, total final expenditure (TFE), three month authority interest rate, retail deposit interest rate and inflation as variables, based on the United Kingdom quarterly data from 1963:1 to 1989:2 and using parsimonious conditional equilibrium model with all variables in logarithms except interest rates (Ericsson, 1998: 307).
Based on the cointegration and weak exogeneity tests, the study found that the long run income elasticity is close to one and the opportunity cost variables (interest rates on alternative assets and inflation) were negatively related to money as expected.
3- Data and Econometric Model Demand for money function in this paper was estimated by using following variables: real demand of broad money (M2), National Income (GNP), nominal exchange rate (EXH), oil price (OIL), and Price levels which is represented by Consumer Price Index (CPI).
(Brooks, 2002) After estimating long run relationship among M2, National Income, Exchange Rate, Price Levels and Oil prices, the authors have tried to build a model and solving it through Stochastic simulation in order to forecast M2 for the period of 2006:3-2007:2 and test the validity of the estimated model.
Firstly, and most importantly, the results of this study confirmed that there exists a unique cointegrating relation among the demand for broad money (M2) and National Income (GNP), Price Levels (CPI), Foreign Exchange Rate and Oil Prices."