(3.227.0.150) 您好!臺灣時間:2021/05/06 11:46
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:陳怡蓁
研究生(外文):Yi-jen Chen
論文名稱:金磚四國貨幣需求函數非對稱調整之實證研究
論文名稱(外文):An Empirical Study of Money Demand Function with Asymmetric Adjustment: The Case of BRICs
指導教授:蘇志偉蘇志偉引用關係
指導教授(外文):Chi-wei Su
學位類別:碩士
校院名稱:靜宜大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008/05/
畢業學年度:96
語文別:英文
論文頁數:31
中文關鍵詞:非對稱誤差修正模型動差門檻自我迴歸門檻自我迴歸貨幣需求函數
外文關鍵詞:threshold autoregressive (TAR)asymmetrical error-correction modelMoney demand functionmomentum-threshold autoregressive (M-TAR)
相關次數:
  • 被引用被引用:0
  • 點閱點閱:132
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本文透過Enders and Granger (1998) 與 Enders and Siklos (2001)提出的非對稱門檻自我迴歸模型(Threshold Autoregressive Model)和動差門檻自我迴歸模型(Momentum-Threshold Autoregressive Model)共整合檢定探討金磚四國貨幣需求函數的長期均衡關係。實證結果指出,M2實質貨幣數量、實質國內生產毛額、實質匯率及存款利率金磚四國皆具有門檻共整合的現象,存在著長期均衡關係。我們進一步利用非線性方法檢定金磚四國貨幣需求函數是否存在非線性的效果,並與線性模型相互比較,因此我們發現金磚四國的貨幣需求函數,支持以非對稱誤差修正的過程,而且對於貨幣需求的總體經濟意涵提供較好的詮釋。
The long-run equilibrium relationship for the money demand function in the BRICs is investigated by the asymmetrical TAR and M-TAR cointegration tests developed by Enders and Granger (1998) and Enders and Siklos (2001). Empirical results indicate that real M2 money balance, real GDP, real exchange rate, and deposit rate have a long term relationship under the specific threshold value. Furthermore, we apply asymmetrical error-correction models to test if the money demand of the BRICs exist any nonlinear forms which will be compared with symmetrical error-correction models. Therefore, we find that M2 money demand in the BRICs support the hypothesis of an asymmetrical error-correction process and provide better interpretation of macroeconomic meanings in the demand for money.
Abstract..............................................Ⅱ
Contents..............................................Ⅲ
List of Tables........................................Ⅳ
List of Figures.......................................Ⅴ
Chapter 1 Introduction................................1
Chapter 2 Threshold and Momentum Models of Cointegration..5
Chapter 3 Empirical Results...........................8
3.1 Linear Unit Root Tests............................9
3.2 Nonlinear Unit Root Test.........................10
3.3 Threshold Cointegration Tests....................11
3.4 Error-Correction Models..........................14
Chapter 4 Conclusions................................22
References...........................................24
Figures..............................................28
Anderson, R. G. and R. H. Rasche (2001), “The Remarkable Stability of Monetary Base Velocity in the United States, 1919-1999.” Federal Reserve Bank of St. Louis Working Paper.
Arize, A. C. (1994), “Has M2 Demand in the USA Become Unstable? Evidence from an Error-Correction Model.” Applied Economics, 26, pp.957-967.
Austin, D., B. Ward, and P. Dalziel (2007), “The Demand for Money in China 1987–2004: A Nonlinear Modelling Approach.” China Economic Review, 18, pp.190-204.
Baba, Y., D. F. Hendry, and R. M. Starr (1992), “The Demand for M1 in the USA 1960-1988.” Review of Economic Studies, 59, pp.25-61.
Bahmani-Oskooee, M. and M. P. Barry (2000), “Stability of the Demand for Money in an Unstable Country: Russia.” Journal of Post-Keynesian Economics, 22, pp.619-629.
Ball, L. (2001), “Another Look at Long-Run Money Demand.” Journal of Monetary Economics, 47, pp.31-44.
Chan, K. S. (1993), “Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model.” The Annals of Statistics, 21, pp.520-533.
Deng, S. and B. Liu (1999), “Modelling and Forecasting the Money Demand in China: Cointegration and Nonlinear Analysis.” Annals of Operations Research, 87, pp.177-189.
Dickey, D. A. and W. A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with Unit Root.” Econometrica, 49, pp.1057–1072.
Enders, W. and C. W. F. Granger (1998), “Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates.” Journal of Business Economics & Statistics, 16, pp.304-311.
Enders, W. and P. L. Siklos (2001), “Cointegration and Threshold Adjustment.” Journal of Business Economics & Statistics, 19, pp.166-176.
Engle, R. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica, 50, pp.987-1007.
Engle, R. F. and C. W. J. Granger (1987), “Cointegration and Error Correction: Representation, Estimation and Testing.” Econometrica, 55, pp.251-276.
Ericsson, N. R., D. F. Hendry, and K. M. Prestwich (1998), “The Demand for Broad Money in the United Kingdom, 1878-1993.” Scandinavian Journal of Economics, 100, pp.289-324.
Friedman, B. M. and K. N. Kuttner (1992), “Money, Income, Prices, and Interest Rates.” American Economic Review, 82, pp.472-492.
Friedman, M. and A. J. Schwartz (1991), “Alternative Approaches to Analyzing Economic Data.” The American Economic Review, 81, pp.39-49.
Hafer, R. W. and D. W. Jansen (1991), “The Demand for Money in the United States: Evidence from Cointegration Tests.” Journal of Money, Credit, and Banking, 23, pp.155-168.
Harrison, B. and Y. Vymyatnina (2005), “Demand for Money during Transition: The Case of Russia.” Working Paper of European University at Saint-Petersburg.
Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics and Control, 12, pp.231-254.
Kapetanios, G., Y. Shin, and A. Snell (2003), “Testing for a Unit Root in the Nonlinear STAR Framework.” Journal of Econometrics, 112, pp.359-379.
Kwiatkowski, D., P. C. Phillips, P. Schmidt, and Y. Shin (1992), “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root.” Journal of Econometrics, 54, pp.159-178.
MacDonald, R. and M. P. Taylor (1992), “A Stable US Money Demand Function, 1874-1975.” Economics Letters, 39, pp.191-198.
Mackinnon, J. (1991), “Critical Values for Cointegration Tests Long-Run Economic Relationships Reading in Cointegration.” Oxford University Press, New York, pp.267–276.
Maki, D. and S. Kitasaka (2006), “The Equilibrium Relationship among Money, Income, Prices, and Interest Rates: Evidence from a Threshold Cointegration Test.” Applied Economics, 38, pp.1585-1592.
McNown, R. and M. S. Wallace (1992), “Cointegration Tests of a Long-Run Relation between Money Demand and the Effective Exchange Rate.” Journal of International Money and Finance, 11, pp.107-114.
Mitchell, W. C. (1927), Business Cycle: the Problem and its Setting, National Bureau of Economic Research, New York.
Miyao, R. (1996), “Does a Cointegrating M2 Demand Relation Really Exist in the United States?” Journal of Money, Credit, and Banking, 28, pp.365-380.
Muscatelli, V. A. and F. Spinelli (1996), “Modeling Monetary Trends in Italy Using Historical Data: the Demand for Broad Money, 1861-1990.” Economic Inquiry, 34, pp.579-596.
Newey, W. and K. West (1994), “Automatic Lag Selection in Covariance Matrix Estimation.” Review of Economic Studies, 61, pp.631-653.
Phillips, P. C. and P. Perron (1988), “Testing for a Unit Root in Time Series Regression.” Biometrika, 75, pp.335–346.
Rao, B. B. and R. Singh (2006), “Demand for Money in India: 1953-2003.” Applied Economics, 38, pp.1319-1326.
Stock, J. H. and M. W. Watson (1993), “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems.” Econometrica, 61, pp.783-820.
Tong, H. (1983), “Threshold Models in Nonlinear Time Series Analysis.” Springer-Verlag, New York.
Wilson, D. and R. Purushothaman (2003), “Dreaming With BRICs: The Path to 2050.” Goldman, Sachs & Co.
Wolters, L. T., T. Teräsvirta, and H. Lutkepohl (1998), “Modelling the Demand for M3 in the United Germany.” Review of Economics and Statistics, 80, pp.399-409.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
系統版面圖檔 系統版面圖檔