Skip to main content

Econometric and Fuzzy Modelling of Indonesian Money Demand

  • Chapter
Statistical Tools for Finance and Insurance

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 109.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Bibliography

  • Arize, A. C. (1994). A Re-examination of the Demand for Money in Small Developing Economies, Applied Economics 26: 217–228.

    Google Scholar 

  • Arize, A. C. and Shwiff, S. S. (1993). Cointegration, Real Exchange Rate and Modelling the Demand for Broad Money in Japan, Applied Economics 25(6): 717–726.

    Google Scholar 

  • Bahmani-Oskooee, M. (2001). How Stable is M2 Money Demand Function in Japan?, Japan and the World Economy 13: 455–461.

    Article  Google Scholar 

  • Bernanke, B.S. and Gertler, M. (1995). Inside the Black Box: the Credit Channel of Monetary Policy Transmission, Journal of Economic Perspectives 9: 27–48.

    Google Scholar 

  • Bezdek, J. C. (1981). Pattern Recognition with Fuzzy Objective Function Algorithms, Plenum Press, New York.

    Google Scholar 

  • Bezdek, J. C. and Pal, S. K. (1992). Fuzzy Models for Pattern Recognition, IEEE Press, New York.

    Google Scholar 

  • Brand, C. and Cassola, N. (2000). A Money Demand System for Euro Area M3, ECB Working Paper 39.

    Google Scholar 

  • Coenen, G. and Vega, J. L. (1999). The Demand for M3 in the Euro Area, ECB Working Paper 6.

    Google Scholar 

  • Deckle, P. and Pradhan, M. (1997). Financial Liberalization and Money Demand in ASEAN Countries: Implications for Monetary Policy. IMF Working Paper WP/97/36.

    Google Scholar 

  • Drake, L. and Chrystal, K. A. (1994). Company-Sector Money Demand: New Evidence on the Existence of a Stable Long-run Relationship for the UK, Journal of Money, Credit, and Banking 26: 479–494.

    Article  Google Scholar 

  • Dunn, J. C. (1973). A Fuzzy Relative of the ISODATA Process and its Use in Detecting Compact Well-Separated Clusters, Journal of Cybernetics 3: 32–57.

    MATH  MathSciNet  Google Scholar 

  • Engle, R. F. and Granger, C. W. J. (1987). Co-integration and Error Correction: Representation, Estimation and Testing, Econometrica 55: 251–276.

    MathSciNet  Google Scholar 

  • Ericsson, N. R. (1999). Empirical Modeling of Money Demand, In: Lütkepohl, H. and Wolters, J. (Eds), Money Demand in Europe, Physica, Heidelberg, 29–49.

    Google Scholar 

  • Giles, D. E. A and Draeseke, R. (2001). Econometric Modelling Using Pattern Recognition via the Fuzzy c-Means Algorithm, in D.E.A. Giles (ed.), Computer-Aided Econometrics, Marcel Dekker, New York.

    Google Scholar 

  • Goldfeld, S. M. and Sichel, D. E. (1990). The Demand for Money, In: Friedman, B. and Hahn, F. H. (Eds), Handbook of Monetary Economics, Elsevier, Amsterdam, 299–356.

    Google Scholar 

  • Hafer, R. W. and Jansen, D. W. (1991). The Demand for Money in the United States: Evidence from Cointegration Tests, Journal of Money, Credit, and Banking 23: 155–168.

    Article  Google Scholar 

  • Hafer, R. W. and Kutan, A. M. (1994). Economic Reforms and Long-Run Money Demand in China: Implication for Monetary Policy, Southern Economic Journal 60(4): 936–945.

    Article  Google Scholar 

  • Haug, A. A. and Lucas, R. F. (1996). Long-Term Money Demand in Canada: In Search of Stability, Review of Economics and Statistics 78: 345–348.

    Article  Google Scholar 

  • Holtemöller, O. (2002). Vector Autoregressive Analysis and Monetary Policy. Three Essays, Shaker, Aachen.

    Google Scholar 

  • Holtemöller, O. (2004a). Aggregation of National Data and Stability of Euro Area Money Demand, In: Dreger, Chr. and Hansen, G. (Eds), Advances in Macroeconometric Modeling, Papers and Proceedings of the 3rd IWH Workshop in Macroeconometrics, Nomos, Baden-Baden, 181–203.

    Google Scholar 

  • Holtemöller, O. (2004b). A Monetary Vector Error Correction Model of the Euro Area and Implications for Monetary Policy, Empirical Economics, forthcoming.

    Google Scholar 

  • Lim, G. C. (1993). The Demand for the Components of Broad Money: Error Correction and Generalized Asset Adjustment Systems, Applied Economics 25(8): 995–1004.

    Google Scholar 

  • Lütkepohl, H. and Wolters, J. (Eds) (1999). Money Demand in Europe, Physica, Heidelberg.

    Google Scholar 

  • McCandless, G. T. and Weber, W. E. (1995). Some Monetary Facts, Federal Reserve Bank of Minneapolis Quarterly Review 19: 2–11.

    Google Scholar 

  • McNown, R. and Wallace, M. S. (1992). Cointegration Tests of a Long-Run Relation between Money Demand and the Effective Exchange Rate, Journal of International Money and Finance 11(1): 107–114.

    Article  Google Scholar 

  • Mehra, Y. P. (1993). The Stability of the M2 Money Demand Function: Evidence from an Error-Correction Model, Journal of Money, Credit, and Banking 25: 455–460.

    Article  MathSciNet  Google Scholar 

  • Miller, S. M (1991). Monetary Dynamics: An Application of Cointegration and Error-Correction Modelling, Journal of Money, Credit, and Banking 23: 139–168.

    Article  Google Scholar 

  • Mishkin, F. S. (1995). Symposium on the monetary transmission mechanism, Journal of Economic Perspectives 9: 3–10.

    Google Scholar 

  • Miyao, R. (1996). Does a Cointegrating M2 Demand Relation Really Exist in Japan?, Journal of the Japanese and International Economics 10: 169–180.

    Article  Google Scholar 

  • Moosa, I. A. (1992). The Demand for Money in India: A Cointegration Approach, The Indian Economic Journal 40(1): 101–115.

    Google Scholar 

  • Mucha, H. J. and Sofyan, H. (2000). Cluster Analysis, in Härdle, W., Klinke, S. and Hlavka, Z. XploRe Application Guide, (Eds), Springer, Heidelberg.

    Google Scholar 

  • Nelson, C. R. and Plosser, C. I. (1982). Trends and Random Walks in Macroeconomic Time Series, Journal of Monetary Economics 10: 139–162.

    Article  Google Scholar 

  • Orden, D. and Fisher, L. A. (1993). Financial Deregulation and the Dynamics of Money, Prices and Output in New Zealand and Australia, Journal of Money, Credit, and Banking 25: 273–292.

    Article  Google Scholar 

  • Perron, P. (1989). The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica 57: 1361–1401.

    MATH  Google Scholar 

  • Price, S. and Insukindro (1994). The Demand for Indonesian Narrow Money: Long-run Equilibrium, Error Correction and Forward-looking Behaviour, The Journal of International Trade and Economic Development 3(2): 147–163.

    Google Scholar 

  • Ruspini, E. H. (1969). A New Approach to Clustering, Information Control 15: 22–32.

    Article  MATH  Google Scholar 

  • Sriram, S. S. (1999). Demand for M2 in an Emerging-Market Economy: An Error-Correction Model for Malaysia, IMF Working paper WP/99/173.

    Google Scholar 

  • Takagi, T. and Sugeno, M. (1985). Fuzzy Identification of Systems and its Application to Modelling and Control, IEEE Transactions on Systems, Man and Cybernetics 15(1): 116–132.

    Google Scholar 

  • Tseng, W. (1994). Economic Reform in China: A New Phase, IMF Occasional Paper 114.

    Google Scholar 

  • Walsh, C. E. (1998). Monetary Theory and Policy, MIT Press, Cambridge.

    Google Scholar 

  • Wolkenhauer, O. (2001). Data Engineering: Fuzzy Mathematics in System Theory and Data Analysis, Wiley, New York.

    Google Scholar 

  • Wolters, J., Teräsvirta, T. and Lütkepohl, H. (1998). Modeling the Demand for M3 in the Unified Germany, The Review of Economics and Statistics 90: 309–409.

    Google Scholar 

Download references

Authors

Rights and permissions

Reprints and permissions

Copyright information

© 2005 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

Achsani, N.A., Holtemöller, O., Sofyan, H. (2005). Econometric and Fuzzy Modelling of Indonesian Money Demand. In: Statistical Tools for Finance and Insurance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-27395-6_11

Download citation

Publish with us

Policies and ethics