| dc.contributor | 金融系 | |
| dc.creator (作者) | Shen, Chung-Hua;Huang, Tai-Hsin | |
| dc.creator (作者) | 沈中華 | zh_TW |
| dc.date (日期) | 2002 | |
| dc.date.accessioned | 23-Mar-2015 18:20:09 (UTC+8) | - |
| dc.date.available | 23-Mar-2015 18:20:09 (UTC+8) | - |
| dc.date.issued (上傳時間) | 23-Mar-2015 18:20:09 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/73963 | - |
| 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. | |
| dc.format.extent | 253673 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Econometrics, 111(1), 11-46 | |
| dc.subject (關鍵詞) | Buffer stock model of money demand; Cross-equation restrictions; Seasonal cointegration; Seasonal difference | |
| dc.title (題名) | Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/S0304-4076(02)00114-8 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/S0304-4076(02)00114-8 | en_US |
