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    Comparison of simple sum and Divisia monetary aggregates using panel data analysis
    (İstanbul Bilgi Üniversitesi, 2010) Uzun, Seda; Sanver, Remzi
    It is well documented that financial innovation has led to poor performance of simple sum method of monetary aggregation destabilizing the historical relationship between monetary aggregates and ultimate target variables like rate of growth and rate of unemployment during the liberalization period of 1980s. This thesis tries to emphasize the superiority of an alternative method of aggregation over the simple sum method, namely Divisia monetary aggregates, taking advantage of two testing methodologies, one of which is the system estimation (Seemingly Unrelated Regression (SUR)) using time series data and the other is the panel data analysis for United States, United Kingdom, Euro Area and Japan for the period between 1980Q1 and 1993Q3. After estimating the parameters of the system through SUR method, I have proceeded with the panel procedure and investigated the order of stationarity of the panel data set through several panel unit root tests and performed advanced panel cointegration tests to check the existence of a long run link between the Divisia monetary aggregates and income and interest rates in a simple Keynesian money demand function. Findings revealed that there exists a long run link between Divisia monetary aggregates, income (measured by real GDP) and interest rates and the relationship between these three variables is relatively robust when compared to the link between simple sum monetary aggregates, income and interest rates.