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The paper investigates the relationship between inflation volatility and money demand in korea using monthly data over the period from 1991 to 2009. This paper employs the Johansen’s multivariate cointegration procedure, GPH (Geweke and Poter-Hudak) cointegration procedure, rolling regression. The...

The paper investigates the relationship between inflation volatility and money demand in korea using monthly data over the period from 1991 to 2009. This paper employs the Johansen’s multivariate cointegration procedure, GPH (Geweke and Poter-Hudak) cointegration procedure, rolling regression. The multivariate cointegration technique is superior to the simpler regression-based technique because it fully captures the underlying time series properties of the data, provides estimates of all of the cointegrating vectors that may exist among a vector of variables, and offers a test statistic for the number of cointegrating vectors which has an exact limiting distribution. Fractionally differenced processes explored by, e.g., Granger and Joyeux (1980) and Hosking (1981) can be used to model parametrically long-memory dynamics. All of the estimates of d are significantly greater than 0 and less than 1, suggesting possible fractional integration behavior. The findings of cointegration facilitates an examination of the short-run model using a error correction model. This paper also apply impulse-response functions to provide the dynamic responses of money demand.

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