INVESTIGATION OF ECONOMIC UNCERTAINTY EFFECT ON MONEY DEMAND: CASE STUDY OF IRAN

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DAHMARDEH N.; ROUSHAN REZA

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Journal: Journal of Economic Research Year:2009 | Volume:44 | Issue:88 Page(s): 95-116

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Information Journal Paper

Title

INVESTIGATION OF ECONOMIC UNCERTAINTY EFFECT ON MONEY DEMAND: CASE STUDY OF IRAN

Author(s)

DAHMARDEH N. | ROUSHAN REZA | Issue Writer Certificate

Keywords

ECONOMIC UNCERTAINTY INDEXQ3

DEMAND MONEYQ2

VOLATILITYQ3

ARDL APPROACHQ3

GARCH MODELSQ3

Abstract

In this paper we investigated effect of economic uncertainty on money demand function of IRAN during(1352-1386).At first by using a general equilibrium theory it is shown that in spite of the existence of economic uncertainties, most of agents who are risk-averse consider these uncertainties when constitute their portfolio. They consider money demand is a function of income, interest rate and an Economy Uncertainty Index (EUI).In this study, we constituted a EUI by using of ARCH/GARCH models and this index is consist of volatilities of some variables that effect on money demand of IRAN. These variables are: exchange rate, interest rates, inflation, stock market and GDP. After constituting an EUI and entering it in money demand function, we estimated money demand function by ARDL APPROACH. Results show that increasing economic uncertainty leades to decreasing money demand in Iran.

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APA: Copy

DAHMARDEH, N., & ROUSHAN, REZA. (2009). INVESTIGATION OF ECONOMIC UNCERTAINTY EFFECT ON MONEY DEMAND: CASE STUDY OF IRAN. TAHGHIGHAT-E-EGHTESADI, 44(88), 95-116. SID. https://sid.ir/paper/12027/en

Vancouver: Copy

DAHMARDEH N., ROUSHAN REZA. INVESTIGATION OF ECONOMIC UNCERTAINTY EFFECT ON MONEY DEMAND: CASE STUDY OF IRAN. TAHGHIGHAT-E-EGHTESADI[Internet]. 2009;44(88):95-116. Available from: https://sid.ir/paper/12027/en

IEEE: Copy

N. DAHMARDEH, and REZA ROUSHAN, “INVESTIGATION OF ECONOMIC UNCERTAINTY EFFECT ON MONEY DEMAND: CASE STUDY OF IRAN,” TAHGHIGHAT-E-EGHTESADI, vol. 44, no. 88, pp. 95–116, 2009, [Online]. Available: https://sid.ir/paper/12027/en

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