Abstract

A growing body of recent literature identifies the exchange rate as an important determinant of demand for money along with income and interest rate, but these studies assume the symmetric effect of exchange rate on demand for money. In contrast, this study argues that the exchange rate can have an asymmetric effect on money demand. Therefore, we estimate the symmetric and asymmetric impact of real effective exchange rate on demand for money from 1974 to 2019 for Pakistan using the symmetric and asymmetric autoregressive distributed lag model (ARDL). The estimated symmetric ARDL model shows insignificant impact of the real effective exchange rate on demand for money while the asymmetric ARDL results show that the impact of currency depreciation on money demand is positive and significant, suggesting substitution effect. Moreover, the stability of the money demand function highlights the role of monetary aggregates in the conduct of monetary policy.

摘要

越来越多的最新文献将汇率确定为对货币需求以及收入和利率的重要决定因素，但是这些研究假设汇率对货币需求具有对称影响。相反，该研究认为汇率可能对货币需求产生不对称影响。因此，我们使用对称和非对称自回归分布滞后模型（ARDL）估计了1974年至2019年巴基斯坦实际有效汇率对货币需求的对称和非对称影响。估计的对称ARDL模型显示实际有效汇率对货币需求的影响不显着，而非对称ARDL结果显示货币贬值对货币需求的影响为正且显着，表明存在替代效应。此外，