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題名 Seasonal Cointegration and Cross-Equation Restrictions on a Forward Looking Buffer Stock Model of Money Demand
作者 黃台心
Huang,Tai-Hsin;Shen,Chung-Hua
貢獻者 金融系
關鍵詞 Buffer stock model of money demand; Cross-equation restrictions; Seasonal cointegration; Seasonal difference
日期 2002.11
上傳時間 24-Oct-2014 18:00:52 (UTC+8)
摘要 The present study derives a set of cross-equation restrictions imposed on a forward-looking buffer stock model of money demand. Since typically data are seasonally unadjusted for many countries, a seasonal difference rather than the conventional first difference is employed here to compute the growth rate. This seemingly innocuous change in the computation of the growth rate nevertheless makes the multi-period forward-looking money demand equilibrium model substantially different from previous studies. In addition, the related cointegration analysis and implied cross-equation restrictions are also considerably changed. The existence of up to three seasonal unit roots derived from a seasonal difference supports the need for seasonal cointegration, suggesting a new test for the forward-looking equilibrium model. An application of testing such derived cross-equation restrictions to the equilibrium model is illustrated through use of macroeconomic data on Taiwan.
關聯 Journal of Econometrics,111(1),11-46
資料類型 article
DOI http://dx.doi.org/10.1016/S0304-4076(02)00114-8
dc.contributor 金融系en_US
dc.creator (作者) 黃台心zh_TW
dc.creator (作者) Huang,Tai-Hsin;Shen,Chung-Huaen_US
dc.date (日期) 2002.11en_US
dc.date.accessioned 24-Oct-2014 18:00:52 (UTC+8)-
dc.date.available 24-Oct-2014 18:00:52 (UTC+8)-
dc.date.issued (上傳時間) 24-Oct-2014 18:00:52 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/70783-
dc.description.abstract (摘要) The present study derives a set of cross-equation restrictions imposed on a forward-looking buffer stock model of money demand. Since typically data are seasonally unadjusted for many countries, a seasonal difference rather than the conventional first difference is employed here to compute the growth rate. This seemingly innocuous change in the computation of the growth rate nevertheless makes the multi-period forward-looking money demand equilibrium model substantially different from previous studies. In addition, the related cointegration analysis and implied cross-equation restrictions are also considerably changed. The existence of up to three seasonal unit roots derived from a seasonal difference supports the need for seasonal cointegration, suggesting a new test for the forward-looking equilibrium model. An application of testing such derived cross-equation restrictions to the equilibrium model is illustrated through use of macroeconomic data on Taiwan.en_US
dc.format.extent 253673 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Econometrics,111(1),11-46en_US
dc.subject (關鍵詞) Buffer stock model of money demand; Cross-equation restrictions; Seasonal cointegration; Seasonal differenceen_US
dc.title (題名) Seasonal Cointegration and Cross-Equation Restrictions on a Forward Looking Buffer Stock Model of Money Demanden_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/S0304-4076(02)00114-8en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/S0304-4076(02)00114-8en_US