臺灣博碩士論文加值系統

This article investigates the time-varying behaviors and the performance of prediction of money demand in Taiwan over the period from 1982Q1 to 2006Q4, and uses random coefficient estimation procedure to relax some restrictions of previous work, such as the correction of excluded and included variables being insignificant, the true form unknown, an error term added into equation to find the stochastic law, and errors in the measurement of variables insignificant. In particular, this article is the first study using random coefficient model to estimate the demand on money in Taiwan. First, the results indicate that the values of elasticity in our research are different from those of the others significantly because of the use of concomitants. Second, by observing the time varying-behavior of coefficients, we find some specific points in our time profile of coefficients with which we can draw the real event occurred in Taiwan in 1989, 1997, and 2001. Finally, the predictable values through the time intervals and different specifications are compared, and it is found that we should adopt a different specification of random coefficient model to estimate each interval.

ABSTRACT Ⅰ
TABLE OF CONTENTS Ⅱ
LIST OF FIRURES Ⅲ
LIST OF TABLES Ⅲ

CHAPTER
1. INTRODUCTION 1
2. LITERATURE REVIEW 6
2.1. The money demand literature review 6
2.2.Random coefficient model literature review 9
2.3. The random coefficient models of money demand 10
3. METHODOLODGY 12
3.1.State space model 12
3.2.The Kalman filter 14
3.2.1 The recursions 14
3.2.2 The Prediction of yt 15
3.2.3 Renew and predict zt 16
3.3. Random coefficient estimation procedure and empirical model 18
3.4. Maximum likelihood estimation 23
4. DATA DESCRIPTION AND EMPIRICAL RESULT 25
4.1. Data 25
4.2. Empirical result 26
4.2.1. Coefficient estimation 26
4.2.2. The time varying behavior 29
4.2.3. Post sample forecast 32
5. CONCLUSION AND SUGGESTION 34
REFERENCE 37

LIST OF FIGURE

FIGURE
1. The research flow 43
2. RC1 without concomitant 44
3. RC2 without concomitant 44
4. Total effect and direct effect for RC4 with concomitant 45
5. Total effect and direct effect for RC5 with concomitant 46
6. RC3 without concomitant (1) 47
7. RC3 without concomitant (2) 47
8. Total effect and direct effect for short-term interest rate in RC6 48
9. Total effect and direct effect for long-term interest rate in RC6 49
10. Income elasticity for RC1 and RC4 50
11. Income elasticity for RC6 and RC5 50
12. Income elasticity for RC3 and RC6 51

LIST OF TABLE

TABLE
1. The elasticity of random coefficient model 52
2. The comparison of elasticity of interest rate by different author 53
3. Direct effect and total effect of RC4 and RC5 54
4. Post sample forecasts(RMSEs) 55

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