The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold

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HATEFI MADJUMERD MADJID; JALALI OMOLBANIN; Kafiri Alireza

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Journal: Iranian Journal of Economic Research Year:2019 | Volume:24 | Issue:78 Page(s): 163-193

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Information Journal Paper

Title

The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold

Author(s)

HATEFI MADJUMERD MADJID | JALALI OMOLBANIN | Kafiri Alireza | Issue Writer Certificate

Keywords

Money DemandQ2

Smooth Transition AutoregressiveQ1

Nonlinear EstimationQ1

Abstract

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.

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APA: Copy

HATEFI MADJUMERD, MADJID, JALALI, OMOLBANIN, & Kafiri, Alireza. (2019). The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold. IRANIAN ECONOMIC RESEARCH, 24(78 ), 163-193. SID. https://sid.ir/paper/365270/en

Vancouver: Copy

HATEFI MADJUMERD MADJID, JALALI OMOLBANIN, Kafiri Alireza. The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold. IRANIAN ECONOMIC RESEARCH[Internet]. 2019;24(78 ):163-193. Available from: https://sid.ir/paper/365270/en

IEEE: Copy

MADJID HATEFI MADJUMERD, OMOLBANIN JALALI, and Alireza Kafiri, “The Estimation of Iranian Money Demand Function: Smooth Transition Autoregression with Interest Rate Threshold,” IRANIAN ECONOMIC RESEARCH, vol. 24, no. 78 , pp. 163–193, 2019, [Online]. Available: https://sid.ir/paper/365270/en

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