汇率变动对货币需求的非对称效应——来自新兴经济体的证据

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2019-03-04 DOI:10.1177/0972652719831523

Mohsen Bahmani‐Oskooee, Sahar Bahmani, Ali M. Kutan, Dan Xi

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引用次数: 16

摘要

先前的研究将汇率纳入货币需求函数，以解释货币替代，假设汇率变化对新兴国家的货币需求具有对称影响。由于假设对称效应意味着使用线性模型，他们未能成功地找到汇率变动与货币需求之间的重要联系。当我们应用非线性模型来解决同样的问题时，我们发现在我们样本中的大多数新兴经济体中，汇率变化确实对货币需求有显著的长期影响，而且这种影响确实是不对称的。JEL分类：E41、F31

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On the Asymmetric Effects of Exchange Rate Changes on the Demand for Money: Evidence from Emerging Economies

Previous studies, that included the exchange rate in the demand for money function to account for currency substitution, assumed that exchange rate changes have symmetric effects on the demand for money in emerging countries. Since assuming symmetric effects implies using a linear model, they were not successful in finding significant link between the exchange rate movements and the demand for money. When we applied a nonlinear model to address the same issue, we found that in most emerging economies in our sample, exchange rate changes do have significant long-run effects on the demand for money and such effects are indeed asymmetric. JEL Classifications: E41, F31

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.