통화수요의 장기적 균형관계에 관한 분석: ARDL 모형 추정과 Bounds Testing을 중심으로

The presence of stable long-run equilibrium relationship concerning the demand for money in Korea is investigated in the framework of ARDL models with maximum twelve lags and bounds-testing for monthly data since the liberalization of capital market. Analyzing models of six monetary aggregates with extensive competing sets of explanatory variables out of twenty eight variables, real M2 and real Lf are shown to have long-run equilibrium relationship respectively, which pass through the tests for residuals and parameter stability. For the logged real balances of (M1-MMF), M2, Lf, common ingredients are logged variables of converted monthly real GDP, nominal exchange rate, real stock price uncertainty, and level variables of inflation rate and interest rates. The real GDP and nominal exchange rate show positive signs, and those of uncertainty of real stock price and inflation exhibit negative signs coherently. The selection of appropriate interest rates differs according to the monetary aggregates, and, in general, the signs vary too. However, interest rates show positive signs alike for M2 and Lf. Clearly, nominal exchange rate plays an important role in the long-run equation. On the contrary, asset variables do not show any meaningful results. Any measure for possible structural changes does not seem to be needed for revealing long-run relationship in the data period.