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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/73963

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73963

Title:	Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand
Authors:	Shen, Chung-Hua;Huang, Tai-Hsin 沈中華
Contributors:	金融系
Keywords:	Buffer stock model of money demand;Cross-equation restrictions;Seasonal cointegration;Seasonal difference
Date:	2002
Issue Date:	2015-03-23 18:20:09 (UTC+8)
Abstract:	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.
Relation:	Journal of Econometrics, 111(1), 11-46
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/S0304-4076(02)00114-8
DOI:	10.1016/S0304-4076(02)00114-8
Appears in Collections:	[金融學系] 期刊論文

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