유동성 및 화폐수요함수의 변화에 관한 연구 = The Change of Liquidity and Money Demand Function

다국어 초록 (Multilingual Abstract)

The main purpose of this study is to explore how the money and liquidity demand functions have changed. To analyze the money demand functions, Gregory and Hansen`s cointegration, Johansen`s cointegration, and ARDL Bounds test were employed. Additionally, Stock and Watson`s DOLS method was applied to estimate long-run cointegraton vectors. There were no cointegration relationships among money demand, real income, and interest rate in more than a half of the tested models. However, by including additional variables(short-run interest rate, stock price, real estate price, exchange rate, foreign interest rate, stock price volatility, exchange rate volatility, etc.) on the tested models, we could find strong cointegration relationships among money demand, real income, interest rate, and additional variables in all tested models. The result implies that additional variables are crucial in the long-run equilibrium relationship. The effective additional variables on money demands are different according to the time period in Korea. Before the foreign exchange crisis, exchange rate and short-term interest rate were meaningful variables to explain money demands. However, after the foreign exchange crisis, stock price and stock price volatility were more effective factors influencing on money demands. It would be resulted from the radical increase of the importance of stock market in the Korean financial market after the foreign exchange crisis.

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