期刊名称：International Journal of Economics and Research
电子版ISSN：2229-6158
出版年度：2012
卷号：3
期号：4
页码：97-120
出版社：Sanben Agency
摘要：The argument for controlling inflation through monetary targeting assumes the presence of a stable money demand relation. Though monetary targeting is no more the major monetary policy instrument in South Africa, money demand relation is still one of the channels through which monetary policy affects inflation, which makes is it reasonable to see if a stable long run money demand relation exists in South Africa. Using a Cointegrated VAR method, this study attempts to see if a stable long run money demand relation exists in South Africa. The VAR model constitutes short term interest rate, long term interest rate, inflation, exchange rate, real money and real income as system variables. The findings suggest three cointegrated relations: a relation between long run constant money velocity and inflation; a relation between exchange rate and the short term interest rate, with the shift dummy included; and a relation between the bond rate, inflation and real income. The empirical evidence, however, does not find a stable long run money demand relation unlike previous studies. Neither does the empirical finding support the hypothesis that inflation responds to deviation from a stable long run money demand relation
关键词：Money Demand; VAR model; South Africa; Cointegration; Monetary Policy
