An empirical investigation of monetary interaction in the Korean economy
This paper conducts an econometric investigation of monetary interaction in the Korean economy over the past two decades. The study pays close attention to a critical role played by broad money and an interest rate term spread in the economy. A vector autoregression reveals two cointegrating relationships, both of which are consistent with macroeconomic theory: the first relationship corresponds to a broad money demand function, while the second represents a monetary policy rule function. The cointegrated system is then reduced to a vector equilibrium correction system, which characterizes the interaction between money demand and monetary policy rule. It is also demonstrated that the preferred model is a reliable forecasting device, suggesting that the broad money contains information about the real economy in the future.
Year of publication: |
2011
|
---|---|
Authors: | Choo, Han Gwang ; Kurita, Takamitsu |
Published in: |
International Review of Economics & Finance. - Elsevier, ISSN 1059-0560. - Vol. 20.2011, 2, p. 267-280
|
Publisher: |
Elsevier |
Keywords: | Monetary interaction in Korea Money demand Monetary policy rule Cointegrated vector autoregression Vector equilibrium correction system |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
An empirical investigation of monetary interaction in the Korean economy
Choo, Han Gwang, (2011)
-
Modeling the dynamics of US monetary policy and inflation over the past quarter century
Choo, Han Gwang, (2016)
-
An empirical investigation of monetary interaction in the Korean economy
Choo, Han Gwang, (2011)
- More ...