Economic Uncertainty and the Demand for Money in BRICS Countries

Economic uncertainty is being concerned due to the prolonged impacts of financial reforms in the past, which in turn give rise to the proposal of revising the conventional money demand function. This study examines the significance of economic uncertainty, as one of the determinants of money demand...

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Main Author:	Tan, Wen Hsien
Format:	Thesis
Language:	English
Published:	2020
Subjects:	HB Economic Theory HC Economic History and Conditions
Online Access:	http://ir.unimas.my/id/eprint/29931/2/Tan%20Wen%20Hsien.pdf
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id	my-unimas-ir.29931
record_format	uketd_dc
spelling	my-unimas-ir.299312024-02-19T06:05:32Z Economic Uncertainty and the Demand for Money in BRICS Countries 2020-06-04 Tan, Wen Hsien HB Economic Theory HC Economic History and Conditions Economic uncertainty is being concerned due to the prolonged impacts of financial reforms in the past, which in turn give rise to the proposal of revising the conventional money demand function. This study examines the significance of economic uncertainty, as one of the determinants of money demand function in Brazil, Russia, India, China, and South Africa, namely BRICS countries by determining the long-run relationship between the real money demand (real broad money or RM2) and the economic uncertainty, and other control variables as well. Quarterly data is employed in this study starting from 2001:Q1 to 2018:Q4. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, specifically GARCH (1, 1) model is employed as preliminary test to extract the volatilities from the macroeconomic variables and hence, construct the Economic Uncertainty Index (EUI). The long-run relationship is determined through the Autoregressive Distributed Lag (ARDL) approach. The result shows there is a long-run relationship between the real money demand and the economic uncertainty. Stable real money demand function in BRICS countries are established through the CUSUM and CUSUMSQ tests. Thus, EUI able to assist RM2 on refining the effectiveness of monetary policy in BRICS countries. As well, RM2 is evidently appropriate to be used as indicator while implementing monetary policy. Universiti Malaysia Sarawak, (UNIMAS) 2020-06 Thesis http://ir.unimas.my/id/eprint/29931/ http://ir.unimas.my/id/eprint/29931/2/Tan%20Wen%20Hsien.pdf text en validuser masters Universiti Malaysia Sarawak Faculty of Economics and Business
institution	Universiti Malaysia Sarawak
collection	UNIMAS Institutional Repository
language	English
topic	HB Economic Theory HC Economic History and Conditions
spellingShingle	HB Economic Theory HC Economic History and Conditions Tan, Wen Hsien Economic Uncertainty and the Demand for Money in BRICS Countries
description	Economic uncertainty is being concerned due to the prolonged impacts of financial reforms in the past, which in turn give rise to the proposal of revising the conventional money demand function. This study examines the significance of economic uncertainty, as one of the determinants of money demand function in Brazil, Russia, India, China, and South Africa, namely BRICS countries by determining the long-run relationship between the real money demand (real broad money or RM2) and the economic uncertainty, and other control variables as well. Quarterly data is employed in this study starting from 2001:Q1 to 2018:Q4. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, specifically GARCH (1, 1) model is employed as preliminary test to extract the volatilities from the macroeconomic variables and hence, construct the Economic Uncertainty Index (EUI). The long-run relationship is determined through the Autoregressive Distributed Lag (ARDL) approach. The result shows there is a long-run relationship between the real money demand and the economic uncertainty. Stable real money demand function in BRICS countries are established through the CUSUM and CUSUMSQ tests. Thus, EUI able to assist RM2 on refining the effectiveness of monetary policy in BRICS countries. As well, RM2 is evidently appropriate to be used as indicator while implementing monetary policy.
format	Thesis
qualification_level	Master's degree
author	Tan, Wen Hsien
author_facet	Tan, Wen Hsien
author_sort	Tan, Wen Hsien
title	Economic Uncertainty and the Demand for Money in BRICS Countries
title_short	Economic Uncertainty and the Demand for Money in BRICS Countries
title_full	Economic Uncertainty and the Demand for Money in BRICS Countries
title_fullStr	Economic Uncertainty and the Demand for Money in BRICS Countries
title_full_unstemmed	Economic Uncertainty and the Demand for Money in BRICS Countries
title_sort	economic uncertainty and the demand for money in brics countries
granting_institution	Universiti Malaysia Sarawak
granting_department	Faculty of Economics and Business
publishDate	2020
url	http://ir.unimas.my/id/eprint/29931/2/Tan%20Wen%20Hsien.pdf
_version_	1794023008548945920

Economic Uncertainty and the Demand for Money in BRICS Countries

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