Applying the seasonal error correction model to the demand for international reserves in Taiwan

淡江大學機構典藏 > 商管學院 > 經濟學系暨研究所 > 期刊論文 > Item 987654321/24785

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题名:	Applying the seasonal error correction model to the demand for international reserves in Taiwan
作者:	Huang, Tai-hsin;黃台心;Shen, Chung-hua
贡献者:	淡江大學經濟學系
关键词:	International reserve;Seasonal unit root;Seasonal cointegration
日期:	1999-01-01
上传时间:	2009-11-30 18:36:57 (UTC+8)
出版者:	Elsevier
摘要:	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.
關聯:	Journal of international money and finance 18(1), pp.107-131
DOI:	10.1016/S0261-5606(98)00039-4
显示于类别:	[經濟學系暨研究所] 期刊論文

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