Money demand in China and time-varying cointegration

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	Money demand in China and time-varying cointegration
	Zuo, Haomiao ; Park, Sung Y. ; Zuo HM(左浩苗)
刊名	http://dx.doi.org/10.1016/j.chieco.2011.04.001
	2011-09
关键词	UNIT-ROOT HYPOTHESIS ERROR-CORRECTION BANK OWNERSHIP I(1) PROCESSES EXCHANGE-RATE TESTS REGRESSIONS MARKET INSTABILITY STABILITY
英文摘要	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 0.75, 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.
语种	英语
出版者	CHINA ECON REV
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91493]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Zuo, Haomiao,Park, Sung Y.,Zuo HM. Money demand in China and time-varying cointegration[J]. http://dx.doi.org/10.1016/j.chieco.2011.04.001,2011.
APA	Zuo, Haomiao,Park, Sung Y.,&左浩苗.(2011).Money demand in China and time-varying cointegration.http://dx.doi.org/10.1016/j.chieco.2011.04.001.
MLA	Zuo, Haomiao,et al."Money demand in China and time-varying cointegration".http://dx.doi.org/10.1016/j.chieco.2011.04.001 (2011).