International journal of

ADVANCED AND APPLIED SCIENCES

EISSN: 2313-3724, Print ISSN:2313-626X

Frequency: 12
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 Volume 5, Issue 12 (December 2018), Pages: 25-29

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 Original Research Paper

 Title: Robustness of demand for money analysis in Vietnam: A time-varying cointegration approach

 Author(s): Pham Dinh Long 1, *, Bui Quang Hien 2, Pham Thi Bich Ngoc 3

 Affiliation(s):

 1Faculty of Economics and Public Management, Ho Chi Minh City Open University, Ho Chi Minh City, Vietnam
 2Graduate School, Ho Chi Minh City Open University, Ho Chi Minh City, Vietnam
 3Faculty of Economics and Business, Hoa Sen University, Ho Chi Minh City 700000, Vietnam

 https://doi.org/10.21833/ijaas.2018.12.004

 Full Text - PDF          XML

 Abstract:

In empirical macroeconomics, there has been increasing interest in exploring determinants and validity model estimation of demand for money. Among them, the issue of stability has been recognized complicated due to many factors such as different opportunity cost variables, transforming economy process, financial innovation regime, and model estimation. This paper focuses on analyzing the money demand in Vietnam in the period Dec 2003 through Feb 2016. Using a time-varying cointegration approach, which is expected to overcome structural change and economic cycle, we can provide a more precise conclusion for the elasticities of money demand. This method allows evaluating some proxy variables to perform a possible model under considering the mentioned cointegration. The main findings figure out income positively affects money demand even when changing the proxy of opportunity cost variables. The scope of interest rate elasticity is overestimated when missing stock price, real exchange rate and consumer price index in the model estimation. However, it is significantly negative with money demand. Other favorable findings are the positive stock price and the negative real exchange rate effects on money demand. By empirically studying, this research shows the time-varying cointegration method can strengthen the robustness of demand for money analysis in Vietnam. 

 © 2018 The Authors. Published by IASE.

 This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

 Keywords: Time-varying cointegration, Money demand stability, Robustness

 Article History: Received 5 July 2018, Received in revised form 11 September 2018, Accepted 20 September 2018

 Digital Object Identifier: 

 https://doi.org/10.21833/ijaas.2018.12.004

 Citation:

 Long PD, Hien BQ, and Ngoc PTB (2018). Robustness of demand for money analysis in Vietnam: A time-varying cointegration approach. International Journal of Advanced and Applied Sciences, 5(12): 25-29

 Permanent Link:

 http://www.science-gate.com/IJAAS/2018/V5I12/Long.html

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