Seasonal cointegration and cross-equation restrictions on a forward looking buffer stock model of money demand

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 987654321/66355

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题名:	Seasonal cointegration and cross-equation restrictions on a forward looking buffer stock model of money demand
作者:	Huang, Tai-hsin;Shen, Chung-hua
贡献者:	淡江大學經濟學系
日期:	2002-11-01
上传时间:	2011-10-22 17:35:43 (UTC+8)
摘要:	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.
關聯:	Journal of econometrics 111(1), pp. 11-46
DOI:	10.1016/S0304-4076(02)00114-8
显示于类别:	[經濟學系暨研究所] 期刊論文

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