政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/70783

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109953/140892 (78%)
Visitors : 46230067 Online Users : 1174

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

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/70783

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/70783

Title:	Seasonal Cointegration and Cross-Equation Restrictions on a Forward Looking Buffer Stock Model of Money Demand
Authors:	黃台心 Huang,Tai-Hsin;Shen,Chung-Hua
Contributors:	金融系
Keywords:	Buffer stock model of money demand;Cross-equation restrictions;Seasonal cointegration;Seasonal difference
Date:	2002.11
Issue Date:	2014-10-24 18:00:52 (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

Files in This Item:

File	Description	Size	Format
11-46.pdf		247Kb	Adobe PDF2	873	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...