Appendix III. Individual Country Results
- Robert Corker, and Wanda Tseng
- Published Date:
- March 1991
Satisfactory equations can be estimated for both narrow and broad monetary aggregates, and these equations appear to have been stable in the 1980s. However, the broad money equation is only stable after taking into account certain aspects of structural change in the 1980s. Specifically, the opportunity cost variable in this equation needs to be adjusted to reflect the rising share of quasi-money in broad money in the 1980s, which raised the average interest paid on monetary assets. And a onetime adjustment to the level of broad money holdings appears to have followed the October 1988 package of financial liberalization measures.
The velocity of narrow money is approximately a stationary time series over the complete sample period. 1970–89, but not over the subperiod 1974–89 for which interest rate data were available. In this latter subperiod, narrow money is, according to the formal statistical tests, cointegrated with income and interest rates, but less formal analysis casts doubt on the stability of the long-run money demand function (Table 1). In particular, the interest rate elasticity is not significant in the subperiod 1974 to the second quarter of 1983 (when substantial financial reforms were introduced). Nevertheless, an error correction model with satisfactory statistical properties was estimated in which the long-run income elasticity was just greater than one (1.16) and deposit rates—rather than expected inflation rates—have a significant negative effect on real money balances.56 Long-run price homogeneity was imposed on the demand function, but the error correction equation allowed for short-run money illusion (Table 2). The error correction equation passed tests for parameter stability, particularly in the periods after the 1983 and 1988 financial liberalization packages.
Real broad money balances appear to be cointegrated with income and a measure of the opportunity cost of holding broad money pointing to the existence of a stable long-run money demand function.57 The long-run income elasticity of real money balances is significantly greater than one (1.58), reflecting the downward trend in velocity over the sample period. An opportunity cost variable consisting of a foreign interest rate (three-month LIBOR) minus a deposit rate weighted by the share of quasi-money in broad money also has a significant effect on broad money demand.58 A decline in the opportunity cost of holding money accounts for some of the acceleration in velocity decline that occurred in the mid-1980s and captures some of the change in the structure of broad money in the 1980s (Chart 2). An intercept shift dummy to take account of the effects of the October 1988 financial liberalization package was also found to have a significant positive effect on the long-run level of money demand: no similar effect could be found for the June 1983 liberalization package. A statistically satisfactory error correction model was estimated that passed parameter stability tests over a wide range of subperiods (Table 3). Short-run price homogeneity was imposed on money demand in the error correction model; long-run price homogeneity of broad money demand is supported by the data.
Only a stable relationship explaining demand for broad money could be found as the demand for narrow money does not appear to be cointegrated with income or interest rates. The stability of the demand-for-broad-money relationship rests with the inclusion of a variable that measures the steady decline in the opportunity cost of holding money in the 1970s and 1980s. This variable captures some elements of structural changes in the Korean financial system during these decades, in particular the declining importance of curb markets.
Narrow money is not cointegrated with income and interest rates (or expected inflation rates) implying that no stable long-run money demand function exists for narrow money (Table 1). In particular, the sharp, temporary, increase in the income velocity of narrow money during the early 1980s cannot be satisfactorily explained.
Broad money (M2) appears to be cointegrated with income and a measure of the opportunity cost of holding money, although the evidence is not strong (Table 1).59 The unrestricted estimates of the long-run elasticities support homogeneity between broad money, income, and prices: in the long run, income velocity is a constant determined by the level of interest rates. The opportunity cost term consists of the interest rate in the curb market minus deposit rates weighted by the share of quasi-money in broad money. The large positive gap between curb market and deposit rates declined steadily during the last two decades, partly because financial deregulation encouraged the development of the official financial sector. The opportunity cost variable, therefore, explains the downtrend in income velocity in that period.60
A satisfactory error correction model can be estimated for broad money over the period 1970–89 with changes in real income helping to predict deviations from long-run equilibrium (Table 3). The equation passes tests for parameter stability over diverse subsamples; however, in the 1980s sub-period, the coefficient on the error correction term is somewhat smaller and less significant and there is evidence of residual autocorrelation.61 This result may indicate some degree of structural change in the 1980s—for example, the development of the formal nonbank financial sector—that cannot be explained by the opportunity cost variable alone. Indeed, as the curb market continues to decline in importance, the interest rates in that market may not reflect the return on alternative investments in Korea suggesting that a reappraisal of the money demand function using alternative measures of the opportunity cost of holding money will be warranted in the future.
Despite its greater volatility, narrow money has been at least as stable and predictable a variable as broad money. Indeed, the evidence for the existence of a stable money demand equation is much more compelling for narrow money than for broad money. The income elasticity of broad money is substantially greater than one.
The income velocity of narrow money is a stationary series (it is integrated of order zero), although the freely estimated long-run income elasticity is a little greater than unity (Table 1). This appears to be a cointegrated relationship and, therefore, a valid long-run demand function. No long-run effects on money demand could be found for interest rates (several interest rate variables, including foreign rates, were tested) or expected inflation.62 A satisfactory error correction model can be estimated that has reasonably stable parameters in the 1980s (Table 2).
The evidence that broad money is cointegrated with income and interest rates is somewhat weak, casting doubt on the existence of a long-run money demand function. The estimated long-run income elasticity substantially exceeds one (1.63) and the long-run semielasticity of interest rates is also quite large (Table 1). The interest rate variable—an opportunity cost term equal to the three-month LIBOR minus deposit rates weighted by the share of quasi-money in broad money—can only account for part of the trend decline in the income velocity of broad money. A satisfactory and stable error correction model was estimated (Table 3).
Narrow and broad monetary aggregates did not behave very predictably in the 1970s and 1980s. If allowance is made for the demonetization of September 1987, narrow money appears to be cointegrated with income, but medium-term income velocity trends have fluctuated substantially, and short-run movements in money demand are not very predictable.63 Broad money does not appear to be related in a stable fashion to income or inflation rates, even after making allowance for the demonetization episodes of the late 1980s. The effects on money demand of the reforms introduced at the end of the decade are too recent to be analyzed in detail.
Real narrow money balances appear to be coin-tegrated with real income, after allowing for a onetime decrease in money holdings following the September 1987 demonetization, indicating the existence of a stable long-run relationship (Table 1).64 However, the long-run income elasticity of narrow money demand was estimated at close to two in the 1980s compared with less than one in the 1970s indicating that the medium-term behavior of narrow money has fluctuated quite widely. No role for interest rates (which changed only once in the sample period) or inflation rates could be found. An estimated error correction model of narrow money demand exhibited residual serial correlation and did not have stable coefficients (Table 2).
No stable long-run broad money relationship appears to exist as broad money is not Cointegrated with income and inflation rates, even after allowing for the effects of the 1985 and 1987 demonetizations. The result reflects the changing trends in velocity over the 1970s and 1980s: in the first half of the 1970s, velocity tended to rise before trending down between the mid-1970s and the period of financial turbulence in the last half of the 1980s (Chart 2).
Narrow money and income may be related in a stable fashion in the long run but, partly because of data limitations, short-run money demand is not very predictable. The long-run broad money/income relationship was not stable, reflecting a slowdown in the trend decline in velocity during the 1980s from the extremely rapid rate of the 1970s. It is too early to judge the impact on money demand of the deregulation of interest rates in August 1989.
Real narrow money balances are possibly cointegrated—not all the statistical tests are satisfied—with real income (Table 1). No long-run role could be found for interest rates, which changed infrequently over the course of the data sample, or for inflation rates. The income elasticity was estimated at 1.8 using the entire sample, although there is evidence that the elasticity declined somewhat in the 1980s, suggesting a deceleration of the rapid process of monetization. No satisfactory error correction model was estimated, although this may reflect the time series interpolation of the quarterly income series from annual observations. The best error correction equation exhibited significant residual autocorrelation (Table 2).
Real broad money balances were not cointegrated with income and interest or inflation rates over the period 1970–89 (Table 1). This result reflects a substantial deceleration in the decline of velocity in this period: in the 1970s, the freely estimated income elasticity exceeds three, while in the 1980s, the elasticity is just below two.
It is possible that both narrow and broad monetary aggregates bear stable long-run relationships to income and interest rates, although the stability of the narrow money relationship relies on an ad hoc adjustment for financial turbulence in the mid-1980s. No satisfactory error correction equation could be estimated for either aggregate.
Narrow money is not cointegrated with income and interest or inflation rates unless allowance is made for a structural break in the mid-1980s. Specifically, an intercept shift dummy variable is required from end-1983 onward to produce a long-run money demand function that is close to satisfying the cointegration tests (Table 1).65 The income elasticity is 0.67 and a significant negative role is found for deposit rates.66 A reasonable error correction model can be estimated for narrow money if money illusion is permitted in the short run: long-run price homogeneity is imposed. The equation’s parameters are not stable, however, suggesting that it is not possible to explain the high degree of velocity volatility in the 1980s and, in particular, the “spike” in velocity in the mid-1980s.
By contrast, real broad money balances appear to be cointegrated with income without need for an intercept shift variable in the 1980s (Table 1). However, no long-run role could be found for various interest rate and opportunity cost variables. The estimated long-run income elasticity is 1.47, considerably larger than Goldsbrough and Zaidi’s (1989) estimate of 0.8. The estimated error correction equation—which includes short-run interest rate effects—exhibited signs of residual autocorrelation, and the size of the coefficient on the error correction term increased significantly in the 1980s. Even allowing for this via a dummy variable to capture a different pace of adjustment in the period of financial instability, the equation failed formal parameter stability tests.
Although Singapore did not undertake major financial liberalization measures in the 1980s—its financial markets were already well developed and external capital flows liberalized before the beginning of that decade—it proved difficult to find stable, predictable money demand relationships. Neither narrow nor broad money was cointegrated with income and interest rates alone. The narrow aggregate may be cointegrated with income, interest rates, and the expected appreciation of the Singapore dollar. However, no satisfactory error correction model could be found.
Narrow money appears to be cointegrated with income, interest (deposit), and exchange rates, suggesting the existence of a stable long-run money demand function (Table 1), The exchange rate term is the one-period-ahead change in the value of the Singapore dollar in terms of U.S. dollars and has a positive coefficient: expected appreciations imply a rise in the demand for narrow money. The income elasticity is just less than one (0.86), implying some economizing on money holdings by agents commensurate with the relatively sophisticated state of Singapore’s financial markets. Without the exchange rate term, narrow money does not appear to be cointegrated with income and interest rates, or income and inflation rates. It was not possible to estimate a satisfactory error correction model of narrow money—in all specifications tried, the error correction term was not statistically significant—possibly because short-run expectations about exchange rate movements are not systematically related to the observable macro-economic indicators.
Broad money does not appear to be cointegrated with income and interest rates. A number of variants were tried, including different interest rates (foreign and domestic), inflation rate proxies for the opportunity cost of money, and expected changes in the exchange rate. None was successful, nor were attempts to allow for a structural break between the 1970s and 1980s using dummy variable techniques. The freely estimated income elasticities greatly exceeded one, possibly reflecting strong wealth effects on the demand for money.
Broad money appears to be the most reliable monetary aggregate and there is evidence that it behaved reasonably predictably in the 1980s despile major disruptions to the economy. Narrow money does not appear to be related in a stable way to income and interest rates.
Reflecting the wide fluctuations in velocity over the last two decades, narrow money was not cointegrated with income and interest or inflation rates, although tests of the effects of interest rates on money demand were confined to a relatively short period (1978–89) because of the constraints on data availability. In particular, developments in income, interest rates, and inflation cannot explain the reversal of the upward trend in velocity in 1984. Instead, the income elasticity increases significantly in the second” half of the 1980s. The change in the velocity trend possibly reflects a portfolio shift to more liquid assets following the onset of political turbulence in Sri Lanka.
Broad money may be cointegrated with income and interest rates, but the evidence is not strong (Table 1). The income elasticity is about 1.2 and the interest rate—deposit rates weighted by the share of quasi-money in broad money—elasticity is positive. Other interest rate variables, including the secondary market treasury bill rate and money market rates, had negative, but statistically insignificant effects on money demand. This may reflect either insufficient observations, or problems in measuring market returns on alternative assets. A satisfactory error correction model was estimated and had stable coefficients in the last half of the 1980s.
Stable long-run relationships could not be found for either narrow or broad money. There is some evidence that relative asset returns—as opposed to the general level of interest rates—affect broad money.
Narrow money does not appear to bear a stable long-run relationship to income and interest or inflation rates (Table 1). While the income elasticity is close to one (0.85) and deposit interest rates have a significant negative long-run effect on narrow money, this relationship does not pass the tests for cointegration. No short-run dynamic model of narrow money demand was estimated.67
The estimated income elasticity of broad money greatly exceeded one (1–72), money market rates were found to have a negative effect on broad money demand, and an estimate of the average return on broad money had the expected positive effect. The interest rate terms can be combined in an opportunity cost variable with a semielasticity of 2.5, suggesting that differences in rates of returns on assets—as opposed to the general level of interest rates in the economy—affect money demand. However, broad money, income, and the opportunity cost variable do not appear to be cointegrated, implying the absence of a stable long-run relationship. This result may reflect the comparatively short sample period (1977–89) during which interest rates were not fully flexible.
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