政大學術集成


Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/75367


Title: Revisiting the demand for money function: Evidence from the random coefficients approach
Authors: Lee, C.-C.;Chang, An Hsing
Contributors: 風管系
Keywords: Money demand;Predictability;Random coefficient estimation;Time-varying
Date: 2013-09
Issue Date: 2015-05-28 18:02:30 (UTC+8)
Abstract: This article employs second-generation random coefficient (RC) modeling to investigate the time-varying behavior and the predictability of the money demand function in Taiwan over the period from 1982Q1 to 2006Q4. The RC procedure deals with some of the limitations of previous studies, such as unknown functional forms, omitted variables, measurement errors, additive error terms, and the correlations between explanatory variables and their coefficients. Our main findings are as follows. First, the empirical results indicate that the values of the elasticities in the RC estimation are significantly different from those in other studies, because of the use of coefficient drivers. Second, by observing the time-varying behavior of the coefficients, we find some specific points in our time profile of coefficients; that is, we can make an association with real events occurring in Taiwan, such as the financial liberalization after 1989 and the Asian financial crisis of 1997-1998. Finally, we compare the predicted values via the time intervals and different specifications and find that we should adapt different specifications of the RC model to estimate each interval. © 2013 Copyright Taylor and Francis Group, LLC.
Relation: Quantitative Finance, 13(9), 1491-1502
Data Type: article
DOI link: http://dx.doi.org/10.1080/14697688.2011.653386
Appears in Collections:[Department of Risk Management and Insurance] Periodical Articles

Files in This Item:

File Description SizeFormat
1491-1502.pdf704KbAdobe PDF576View/Open


All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing