Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/67978
標題: Long-run money demand in Taiwan revisited: evidence from a cointegrating STR approach
作者: Lee, C.C.
Chang, C.P.
關鍵字: nonlinear error-correction
broad money
seasonal cointegration
united-states
stock-prices
time-series
stability
m1
regressions
inflation
期刊/報告no:: Applied Economics, Volume 40, Issue 8, Page(s) 1061-1071.
摘要: Previous studies on the nonlinearity of the money demand function focus only on short-run dynamics and assume that the long-run cointegrated relationship is linear, which, according to economic theory, need not be the case. Thus, this article focuses on the variables that make up the long-run money demand function in Taiwan and their determinants by using the cointegrating smoothing transition regression (CSTR) test developed by Choi and Saikkonen (2004). This model is more general than the previous STR model in that it may contain several transition functions and has more than a single transition variable. We demonstrate our empirical results for robustness and adopt two models to ascertain whether or not the stock price should be added as a determinant of the demand for money. Our empirical results show the existence of a stationary long-run relationship among real money demand functions for the period from 1976Q1 to 2005Q1 and the robustness test covers the 1980Q1-2005Q1 period in Taiwan. By comparing the two types of model, we find more evidences of a long-run nonlinear cointegrated relationship for the money demand function when we consider stock prices as one of its variables. Finally, the empirical results give rise to some critical policy implications.
URI: http://hdl.handle.net/11455/67978
ISSN: 0003-6846
文章連結: http://dx.doi.org/10.1080/00036840600771114
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