政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/75367

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 112721/143689 (78%)
Visitors : 49629367 Online Users : 457

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/75367

Please use this identifier to cite or link to this item: https://nccur.lib.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
DOI:	10.1080/14697688.2011.653386
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

Files in This Item:

File	Description	Size	Format
1491-1502.pdf		704Kb	Adobe PDF2	672	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...