Money Demand and Seasonal Cointegration

Shen Chung-Hua and Huang Tai-Hsin

International Economic Journal, 1999, vol. 13, issue 3, 97-123

Abstract: This paper employs a seasonal error correction modes (SECM) to examine the Stability of Taiwan' narrow and broad money demand functions. With the exception of the short term interest rate, these two monetary aggregates and their determinants are found to have strong seasonal unit roots at various frequencies. The demand functions for both narrow and broad money are cointegrated with real GNP and export at the annual frequency, whereas the demand for broad money is cointegrated with real GNP at the biannual frequency. Furthermore, both money aggregates are cointegrated with real GNP, exports and he interest rate at the zero frequency. A SECM is then constructed for the respective narrow and broad money demand Functions, of which the latter is found to be stable. [C30, C32, E41]

Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/10168739900000008 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:intecj:v:13:y:1999:i:3:p:97-123

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RIEJ20

DOI: 10.1080/10168739900000008

Access Statistics for this article

International Economic Journal is currently edited by Jaymin Lee Editor

More articles in International Economic Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst (chris.longhurst@tandf.co.uk).