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題名:Estimation of the Money Demand Function Using a Correct Information Matrix
書刊名:經濟論文叢刊
作者:沈中華
作者(外文):Shen, Chung-hua
出版日期:1995
卷期:23:2
頁次:頁239-258
主題關鍵詞:Information matrixMoney demandOpportunity cost
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:5
  • 點閱點閱:14
由於一個月的定存利率是M2貨幣需求的報酬率,它對M2的影響有二種
可能:同方向或沒有影響。因此過去的實證文獻使用此利率卻發現其在M2貨幣需
求函數為顯著負號,基本上是牴觸貨幣理論的預期。造成此牴觸的原因可能是因
為貨幣需求函數中包含落後應變數,則傳統消除一階自我相關的方法並不適合,
本文證明一旦使用正確的方法,則一個月定存利率的確對M2貨幣需求函數沒有
影響。
     Using the one-month time deposit rate as an own ratein the M2 money
demand equation, the argument developed in this paper suggests that the own rate
coefficienton M2 is non-negative. Applying the Taiwan data from1965:3 through
1989:4 we find evidence supporting ourtheoretical prediction. This finding is in
contrast to previous results that the relationship between M2 moneydemand and the
one-month time deposit rate is negativein the Taiwan money demand function. This
contradiction is due to the use of an incorrect information matrixin previous studies,
leading to the rejection of the null hypothesis. When a correct information matrix is
used, theinterest rate coefficient becomes insignificantly differentfrom zero.
期刊論文
1.Andrews, D. W. K.(1991)。Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation。Econometrica,59(3),817-858。  new window
2.Goldfeld, Stephen M.(1976)。The Case of the Missing Money。Brookings Papers on Economic Activity,3,683-740。  new window
3.Goldfeld, S. M.(1973)。The Demand for Money Revisited。Brookings Papers on Economic Activity,3,577-646。  new window
4.Baumol, William J.(1952)。The Transaction Demand for Cash: An Inventory Theoretic Approach。Quarterly Journal of Economics,66(4),545-556。  new window
5.Beach, C. M.、Mackinnon, J. G.(1978)。A Maximum Likelihood Preocedure for Regression wtih Autocorrelated Errors。Econometrica,46,51-58。  new window
6.Corhrane, D.、Orcutt, G. H.(1949)。Application of Least Squares Regressions to Relationships Containing Autocorrelated Error Terms。Journal of American Statistical Association,44,32-61。  new window
7.Hafer, R. W.、Hein, S. E.(1980)。The Dynamics and Estimation of Short-Run Money Demand。Federal Reserve Bank of St. Louis Review,62,26-35。  new window
8.Judd, John P.、Scadding, John L.(1982)。The Search for a Stable Money Demand Function: A Survey of the Post: 1973 Literature。Journal of Economic Literature,20(3),993-1023。  new window
9.林宗耀、李榮謙(19890900)。貨幣控制系統之理念。中央銀行季刊,11(3),49-59。new window  延伸查詢new window
10.Mehra, Y. P.(1986)。Recent Financial Deregulation and the Interest Elasticity of M1 Demand。Economic review,1986(Jul./Aug.)。  new window
11.Shia, Y.(1989)。Short-Run Money Demand Function in the Taiwan Area: Revisited。Journal of the Central Bank,11(4),21-49。  new window
12.Tobin, J.(1956)。The Interest Elasticity of the Transactions Demand for Cash。Journal of Political Economy,1956(Aug.),241-247。  new window
13.Hansen, Lars Peter(1982)。Large Sample Properties of Generalized Method of Moments Estimators。Econometrica: Journal of the Econometric Society,50(4),1029-1054。  new window
14.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
會議論文
1.Fang, W. S.(1992)。An Open Economy Money Demand Model: The Taiwan Experience。The conference of Macroeconomics。Feng Chia University。  new window
2.方文碩(1992)。開放經濟貨幣需求模型:共整合與誤差修正模型之應用。中國經濟學會年會。Taipei:The Chinese Economic Association。83-110。  延伸查詢new window
研究報告
1.Wu, C. S.、Shea, J. D.(1993)。An Analysis on the Relationship between Stock, Real Estate and Money Markets in Taiwan in the 1980。Academic Sinica。  new window
圖書
1.Dhrymes, P. J.(1971)。Distributed Lags: Problems of Estimation and Formulation。San Francisco:Holden Day。  new window
2.Fomby, Thomas B.、Hill, R. Carter、Johnson, Stanley R.(1984)。Advanced Econometric Methods。Springer-Verlag。  new window
3.Harvey, A. C.(1981)。The Econometric of Time Series。Oxford:MIT press。  new window
4.Hildreth, C.、Lu, J. Y.(1960)。Demand Relations with Autocorrelated Disturbances。East Lansing, Michigan:Michigan State University Agricultural Experiment Station。  new window
5.Johnston, J.(1984)。Econometric Methods。New York, NY:McGraw-Hill Borh Company。  new window
單篇論文
1.Liang, M. Y.,Chen, K. M.,Liu, S. H.(1982)。The Demand for Money in Taiwan Revisited,Chung-Hua Institution for Economic Research。  new window
2.Prais, S. J.,Winsten, C. B.(1954)。Trend Estimators and Serial Correlation,Chicago:Cowles Commission。  new window
圖書論文
1.Goldfeld, S. M.、Sichel, R.(1990)。Money Demand Function。Handbook of Monetary Economics。North Holland, Amsterdam。  new window
 
 
 
 
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