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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/70796

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/70796

Title:	Applying the Seasonal Error Correction Model to the Demand for International Reserves in Taiwan
Authors:	黃台心;沈中華 Huang, Tai-Hsin;Shen, Chung-Hua
Contributors:	金融系
Keywords:	International reserve;Seasonal unit root;Seasonal cointegration
Date:	1999-01
Issue Date:	2014-10-27 10:43:03 (UTC+8)
Abstract:	A dynamic demand function for international reserves based on the seasonal difference is derived. Our model of using seasonal difference distinguishes the present study from previous studies in three aspects. First, the dependent variable is seasonally differenced instead of being first order differenced. Next, the local money market disequilibrium included is also in fourth difference form. Finally, given the existence of stochastic seasonality, a new model, using a seasonal error correction rather than the conventional error correction, is specified and estimated. Based on this new specification, the results yielded are more sensible than those of using a differenced model.
Relation:	Journal of International Money and Finance,18,107-131
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/S0261-5606(98)00039-4
DOI:	10.1016/S0261-5606(98)00039-4
Appears in Collections:	[金融學系] 期刊論文

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