The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold
The main objective of this study is to evaluate the effect of saving rate on money demand function’s regime change in the framework of nonlinear smooth transition auto-regressive method covering the period 1352-1396. In this regard, the linear model was tested against nonlinear model and it revealed...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2019-03-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_10166_e3db093ed8f9d42c52519a7280095838.pdf |
| _version_ | 1797369310858969088 |
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| author | Madjid Hatefi Madjumerd Omolbanin Jalali Alireza Kafiri |
| author_facet | Madjid Hatefi Madjumerd Omolbanin Jalali Alireza Kafiri |
| author_sort | Madjid Hatefi Madjumerd |
| collection | DOAJ |
| description | The main objective of this study is to evaluate the effect of saving rate on money demand function’s regime change in the framework of nonlinear smooth transition auto-regressive method covering the period 1352-1396. In this regard, the linear model was tested against nonlinear model and it revealed that nonlinear model is better. Then, the nonlinear logistic model is distinguished by using Trasvirta test. The results indicated that error adjustment speed in linear models is different from nonlinear ones. Adjustment speed is different in various interest rates. If interest rate of bank deposits is very low, money demand function will quickly adjust itself. As the interest rate of deposits increase, the adjustment speed of money demand function will decrease. |
| first_indexed | 2024-03-08T17:44:52Z |
| format | Article |
| id | doaj.art-601ff6e94e724608af4686b8699af9db |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:44:52Z |
| publishDate | 2019-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهشهای اقتصادی ایران |
| spelling | doaj.art-601ff6e94e724608af4686b8699af9db2024-01-02T10:29:32ZfasAllameh Tabataba'i University Pressفصلنامه پژوهشهای اقتصادی ایران1726-07282476-64452019-03-01247816319310.22054/ijer.2019.1016610166The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate ThresholdMadjid Hatefi Madjumerd0Omolbanin Jalali1Alireza Kafiri2Postdoctoral Researcher, Faculty of Economics, University of Tehran, Tehran, IranPh.D, Department of Economics,Yazd UniversityM.A., Department of Economics, Shahid Bahonar University of KermanThe main objective of this study is to evaluate the effect of saving rate on money demand function’s regime change in the framework of nonlinear smooth transition auto-regressive method covering the period 1352-1396. In this regard, the linear model was tested against nonlinear model and it revealed that nonlinear model is better. Then, the nonlinear logistic model is distinguished by using Trasvirta test. The results indicated that error adjustment speed in linear models is different from nonlinear ones. Adjustment speed is different in various interest rates. If interest rate of bank deposits is very low, money demand function will quickly adjust itself. As the interest rate of deposits increase, the adjustment speed of money demand function will decrease.https://ijer.atu.ac.ir/article_10166_e3db093ed8f9d42c52519a7280095838.pdfmoney demandsmooth transition autoregressivenonlinear estimation |
| spellingShingle | Madjid Hatefi Madjumerd Omolbanin Jalali Alireza Kafiri The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold فصلنامه پژوهشهای اقتصادی ایران money demand smooth transition autoregressive nonlinear estimation |
| title | The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold |
| title_full | The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold |
| title_fullStr | The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold |
| title_full_unstemmed | The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold |
| title_short | The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold |
| title_sort | estimation of iranian money demand function smooth transition autoregression with interest rate threshold |
| topic | money demand smooth transition autoregressive nonlinear estimation |
| url | https://ijer.atu.ac.ir/article_10166_e3db093ed8f9d42c52519a7280095838.pdf |
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