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Currency demand stability in the presence of seasonality and endogenous financial innovation Evidence from India

机译：存在季节性和内生金融创新的情况下货币需求稳定来自印度的证据

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Purpose - This paper aims to examine the stability of the currency demand function for India with private consumption expenditure, tax-gross domestic product ratio and deposit rate as explanatory variables for the period 1996:1 to 2014:4. Additionally, this paper also tries to detect the presence of endogenous financial innovation in the currency demand function. Design/methodology/approach - For the theoretical foundation of the study, this paper has used a modified version of money-in-the-utility function. To examine the stability of currency demand function empirically, seasonal cointegration technique developed by HEGY (1990) and EGHL (1993) was applied. Finally, to detect the presence of endogenous financial innovation in the currency demand equation, the Gurley and Shaw (1960) hypothesis was tested by presenting the currency demand equation in a state-space form. Findings - The empirical findings show that there is the absence of long-run cointegrationg relationship among the variables at the zero and annual frequency; however, there is evidence of a relationship among the variables at the biannual frequency. Moreover, the time-varying coefficient of deposit rate elasticity, used to test the Gurley-Shaw hypothesis, suggests that innovations in financial markets, especially improvements in the payment technology, raise the deposit-rate elasticity, beginning from 2010 onward. Practical implications - The empirical results of the paper suggest that there would be shrinkage of currency demand in future. From the monetary policy angle, the Reserve Bank of India needs to adapt adequately to a situation of shrinking demand for currency. Originality/value - Apart from using seasonally unadjusted data to examine currency demand function for India, this study, for the first time, and to the best of the authors' knowledge, tries to test the evidence of financial innovation in India by testing the Gurley-Shaw hypothesis. The findings of the study will have significant implication in the planning of the issue and distribution of currency in the fast-changing economic environment.
机译：目的-本文旨在检验印度的货币需求函数的稳定性，以1996：1至2014：4期间的私人消费支出，税收-国内生产总值比率和存款利率作为解释变量。此外，本文还尝试检测货币需求函数中是否存在内生性金融创新。设计/方法/方法-为研究的理论基础，本文使用了效用货币函数的修改版本。为了经验地检验货币需求函数的稳定性，应用了由HEGY（1990）和EGHL（1993）开发的季节性协整技术。最后，为了检测货币需求方程中是否存在内生性金融创新，通过以状态空间形式表示货币需求方程，检验了Gurley和Shaw（1960）的假设。结果-实证结果表明，在零频率和年频率下，变量之间没有长期的协整关系；但是，有证据表明变量之间以两年一次的频率相关。此外，用于检验Gurley-Shaw假设的存款利率弹性的时变系数表明，金融市场的创新，特别是支付技术的改进，从2010年起提高了存款利率弹性。实际意义-本文的经验结果表明，未来货币需求将会减少。从货币政策角度看，印度储备银行需要充分适应货币需求萎缩的情况。独创性/价值-除了使用季节性未经调整的数据来检验印度的货币需求函数外，本研究还是第一次以作者所知的方式，通过检验Gurley来检验印度的金融创新证据。 -肖假说。该研究的结果将在瞬息万变的经济环境中对货币发行和货币发行的规划产生重大影响。

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