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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/24782

    Title: Money Demand and Seasonal Cointegration
    Authors: Shen, Chung-hua;Huang, Tai-hsin
    Contributors: 淡江大學經濟學系
    Date: 1999-03-01
    Issue Date: 2009-11-30 18:36:50 (UTC+8)
    Publisher: Taylor & Francis
    Abstract: This paper employs a seasonal error correction model (SECM) to examine the
    stability of Taiwan's narrow and broad money demand functions. With the exception of the short term interest rate, these two monetary aggregates and their determinants are found to have strong seasonal unit roots at various frequencies. The demand functions for both narrow and broad money are cointegrated with real GNP and exports at the annual frequency, whereas the demand for broad money is cointegrated with real GNP at the biannual frequency. Furthermore, both money aggregates are cointegrated with real GNP, exports and the interest rate at the zero frequency. A SECM is then constructed for the respective narrow and broad money demand functions, of which the latter is found to be stable.
    Relation: International economic journal 13(3), pp.97-123
    DOI: 10.1080/10168739900000008
    Appears in Collections:[經濟學系暨研究所] 期刊論文

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