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題名 Revisiting the demand for money function: Evidence from the random coefficients approach
作者 Lee, C.-C.;Chang, An Hsing
貢獻者 風管系
關鍵詞 Money demand; Predictability; Random coefficient estimation; Time-varying
日期 2013-09
上傳時間 28-May-2015 18:02:30 (UTC+8)
摘要 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.
關聯 Quantitative Finance, 13(9), 1491-1502
資料類型 article
DOI http://dx.doi.org/10.1080/14697688.2011.653386
dc.contributor 風管系
dc.creator (作者) Lee, C.-C.;Chang, An Hsing
dc.date (日期) 2013-09
dc.date.accessioned 28-May-2015 18:02:30 (UTC+8)-
dc.date.available 28-May-2015 18:02:30 (UTC+8)-
dc.date.issued (上傳時間) 28-May-2015 18:02:30 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/75367-
dc.description.abstract (摘要) 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.
dc.format.extent 720978 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Quantitative Finance, 13(9), 1491-1502
dc.subject (關鍵詞) Money demand; Predictability; Random coefficient estimation; Time-varying
dc.title (題名) Revisiting the demand for money function: Evidence from the random coefficients approach
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1080/14697688.2011.653386
dc.doi.uri (DOI) http://dx.doi.org/10.1080/14697688.2011.653386