چکیده:
The purpose of this study is estimation of narrow money in the long run via ARDL and Johansen procedures. In doing so first econometric model has been investigated. For modeling narrow money two studies have been applied namely Rother (1999) and Bahmani Oskooee (1996). The applied model in this study deals with GDP, inflation, rates of return on foreign exchange and cars. In order to investigate the long run relationship among involved determinants in the model cointegration test has been applied via ARDL and Johansen procedures. According to trace adjusted there is only one cointegration vector for the RM1 model. Then we derived the long run coefficients for RM1 model and concluded the same results as those of the ARDL test in the light of the theory basis. Although the ARDL and Johansen use very different techniques in estimation, the former employs ordinary least squares while the latter uses the maximum likelihood estimation method. Thus, one-to-one comparison of the magnitudes of the coefficients may not be appropriate and requires some caution. Hence there is a bit difference between two mentioned results in determinants parameters magnitudes. For explain the coefficients of determinants for GDP and inflation in Johansen is more real and closed to theory in comparison to ARDL procedure
خلاصه ماشینی:
"In order to investigate the long run relationship among involved determinants in the model cointegration test has been applied via ARDL and Johansen procedures.
Introduction The paper’s objective is to provide a comparative discussion for two different cointegration procedures ARDL, and Johansen for estimation real narrow money (RM1) in the Iranian economy.
(See: Nazemzade (1983), Domowitz and Elbadawi (1987), Lahiri (1991), Amirsharafi (1991), Nowferesti (1995) and Emadzade (1990).
In order to determine the long-run relationship among variables, Bahmani-Oskooee (1996) has then applied the Johansen & Juselius (1990) procedure.
The Money demand model used in this study By paying attention to the previous empirical works in section 4 findings and also theoretical discussions, the money demand function is expressed thus: (M1 / p) t = ao + a1 RGDP t + a2 Inft + a3 RExt + a4 RCart +ut (11) Where M1/P stands for real narrow money, RGDP is real gross domestic product, Inf stands for inflation, REx and RCar stand for rate of return on foreign exchange and rate of return on cars respectively.
T (13) Where k is the number of lags; X is a vector comprising I(1) variables which contain real narrow money (RM1), GDP and inflation, (Inf); Z is a vector comprising I(0) variables which are the rates of return on foreign exchange and cars; ( is a constant vector; and t is a trend vector.
The estimation results indicate that real narrow money, GDP and inflation form a stable long-run relationship, and that all economic variables have sensible signs and magnitudes, as expected by theory."