More evidence on the asymmetric effects of exchange rate changes on the demand for money: evidence from Asian |
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| Authors: | Mohsen Bahmani-Oskooee Dan Xi Sahar Bahmani |
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| Institution: | 1. Department of Economics, The University of Wisconsin-Milwaukee, Milwaukee, WI, USA;2. School of Finance, University of International Business and Economics, Beijing, China;3. Department of Economics, University of Wisconsin-Parkside, Kenosha, WI, USA |
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| Abstract: | We try to assess the impact of exchange rate changes on the demand for money in eight Asian countries. When we followed the previous literature and the standard linear Autoregressive Distributed Lag (ARDL) approach, we found exchange rate changes had no long-run significant effects in five out of the eight countries in our sample. However, when we applied the nonlinear ARDL approach and separated appreciations from depreciations, at least one of them or both had significant effects on the demand for money in India, Indonesia, Korea, the Philippines, and Singapore, supporting asymmetric effects of exchange rate changes. There was also evidence of short-run asymmetric effects. |
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| Keywords: | Money demand exchange rate asymmetry effects nonlinear ARDL Asia |
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