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Money demand in China and time-varying cointegration (2011)_香港中文大学

香港中文大学 辅仁网/2017-07-06

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Money demand in China and time-varying cointegration
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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/5WOS source URL

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摘要Many studies analyze the money demand using a (fixed coefficient) cointegrating regression model, which may not be appropriate to deal with the money demand of a transition economy like China. This paper investigates this issue using a time-varying cointegration approach based on the quarterly data from 1996 to 2009. We find some interesting results: (i) the estimates of the income elasticities are between 0.60 and 0.7http://aims.cuhk.edu.hk/converis/portal/Publication/5, which are comparable with the previous studies; (ii) the estimated interest rate elasticity supports the argument that the overall effect of the interest rate on the money holding is weak although there are some mild evidences that it has been strengthened in recent years; (iii) the substitution effect of equity asset dominates the wealth effect, especially, during the bullish market period. Our result is robust to the alternative choices of the scale or opportunity cost variables and shows that omission of the stock prices in the money demand function would possibly yield a misspecification problem. (C) 2011 Elsevier Inc. All rights reserved.

着者Zuo HM, Park SY
期刊名称China Economic Review
出版年份2011
月份9
日期1
卷号22
期次3
出版社Elsevier
页次330 - 343
国际标準期刊号1043-9http://aims.cuhk.edu.hk/converis/portal/Publication/51X
电子国际标準期刊号1873-7781
语言英式英语

关键词Canonical cointegration regression; Chinese economy; Cointegration; Money demand; Time-varying coefficient
Web of Science 学科类别Business & Economics; Economics; ECONOMICS

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