Dissertations / Theses on the topic 'Money demand function'
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Banafea, Waheed A. "Essays on structural breaks and stability of the money demand function." Diss., Kansas State University, 2012. http://hdl.handle.net/2097/14869.
Full textDepartment of Economics
Steven P. Cassou
This dissertation consists of three chapters. The first chapter surveys recent studies on the stability of the money demand function in selected developing countries. This chapter presents specific details about modeling and estimating the money demand function. Also, reasons behind the mixed results in the literature on the stability of the money demand function are explored as well as providing a guideline for future research on the stability of the money demand function in developing countries. The second chapter empirically investigates the stability of the money demand function in South Korea and Malaysia. The conventional money demand specification and cointegration framework with a single unknown structural break are conducted. The results of the residual-based tests for cointegration reveal that the M1, M2, and M3 demand are stable in the long run in Malaysia. However, there is no evidence of the stability for all three measures of the money demand in South Korea. The results of the residual-based tests suggest that structural breaks in the cointegration vectors are important and need to be accounted for in the specification of the M1, M2, and LF demand in South Korea, where LF includes M2 in addition to the reserves of nonbanking financial institutions and long-term deposits. The third chapter complements the previous chapter. It aims to evaluate the stability of the money demand function in South Korea and Malaysia using a cash in advance model and cointegration framework with one unknown structural break. This theoretical model adds short-term foreign interest rates and real exchange rates in addition to short-term domestic interest rates and real income. Also, the Granger causality and currency substitution analysis are conducted in this chapter. The results of the residuals-based tests indicate that the M2 and LF demand in South Korea, and M1, M2, and M3 demand in Malaysia are stable in the long run. The structural breaks may not be fairly absorbed when a cash in advance model is used for M1 in South Korea. Thus, the residual-based tests suggest that the structural break is still important and needs to be included in the specification of the M1 demand in South Korea.
Tano, Gerard Ghislain. "UNEMPLOYMENT INSURANCE IN LABOR SEARCH MODEL AND MONEY DEMAND." OpenSIUC, 2012. https://opensiuc.lib.siu.edu/dissertations/508.
Full textNsabimana, Adelit. "Stability of the money demand function and monetary inflation in the East African community." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/9163.
Full textSekine, Toshitaka. "Three empirical studies on Japanese monetary policy in and after the bubble." Thesis, University of Oxford, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.365612.
Full textEliasson, Ann-Charlotte. "Smooth transitions in macroeconomic relationships." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 1999. http://www.hhs.se/efi/summary/516.htm.
Full textIossifov, Plamen K. "Estimation of United States money demand functions using longitudinal family-level data." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file 192Mb, 133 p, 2005. http://wwwlib.umi.com/dissertations/fullcit/3181862.
Full textHuang, Wei Da, and 黃偉達. "A Reconsideration of Taiwan Money Demand Function." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/40219349964617530589.
Full textRehman, Hafeez Ur. "Stability of money demand function in Asian developing countries /." 2003. http://www.gbv.de/dms/zbw/557987377.pdf.
Full textMunte, Ayu Sasni, and Ayu Sasni Munte. "Revisiting the Stability of Money Demand Function in Indonesia." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/m9shn4.
Full text國立東華大學
經濟學系
106
Abstract This study investigates the money demand function in Indonesia for the period 1985-2016. In this period many financial liberalizations took place and it includes the 1997 Asian financial crisis and global financial crisis of 2007-2008. This study aims to re-examine the money demand stability in Indonesia. Empirical results suggest that there exists a cointegration relationship between real narrow money and its determinants. This study shows that income and interest rate elasticities are consistent with the theory of money demand. The Gregory-Hansen cointegration approach suggests that narrow money demand occurs structural breaks in 2008 and 2012 which are compatible with global financial crisis and financial liberalization in Indonesia.
Hung, Te-Wang, and 洪德旺. "Taiwan Money Demand Function in Smooth Transition Error Correction Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/34749653163796570561.
Full text淡江大學
財務金融學系碩士班
97
Most models of the past research on macroeconomic variables are linear ones. However, since Granger and Teräsvirta proposed the smooth transition regression (STR) methodology, discussing macroeconomic variables by applying nonlinear models are going to be the mainstream. The purpose of this paper is to test and diagnose if the money demand of Taiwan exists any nonlinear forms . Empirical results indicate that real M2,real GDP, real exchange rate and saving deposit rate have a long term relationship under some specific threshold value. On the selection of choosing models, it is more suitable to select the LSTECM model which has better capacity than other linear models to explain macroeconomic meanings.
Jiah, Jian Jian, and 簡健哲. "Revisit the stationary of money demand function and transaction costs." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/88597372722481900062.
Full text輔仁大學
經濟學研究所
95
The research in the stationary of money demand function is an important theme for discussion. However, most of literature focus the samples on developed countries or some organization for economy. With the strength of Asian economy rising sharply, we are interested in the stability of money demand function in Asia. Most monetary literature think that transaction costs is very small so that we can ignore it. Nevertheless, if we ignore the importance of transaction costs, the monetary authority can’t enforce their monetary policies successfully. In this paper, I employ the test procedures of Johansen（1988）、Kao（1999）and Pedroni（1999）cointegration approach to exam whether the money demand function is stable after taking into account the existence of transaction costs. The evidence shows that transaction costs is more important for M1 than that for M2 in the stability of money demand function. Therefore, we suggest that the monetary authority must take account of transaction costs which make money demand function stable so as to implement their policies smoothly.
蔡蓓婷. "Taiwan Money Demand Function in Smooth Transition Error Correction Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/87420003218534739742.
Full text淡江大學
財務金融學系
92
The article applied nonlinear model to build up the Taiwan money demand function in smooth transition error correction model. The main purpose is to analyze the short-run dynamic adjustment to long-run equilibrium in money demand function. Take Taiwan as a small open economy system, the exchange rate, income and interest rates are the endogeneous variables in money demand function, then estimate the money demand function. About econometric method, the article applied maximum likelihood test to get a long-run cointegration relation, then build up the linear error correction model. But after error and model test, the linear error correction model isn''t suitable for analyze Taiwan money demand function’s short-run dynamic adjustment behavior. Therefore applied the LM-type test on the linearity. We reconfirm nonlinear logistic smooth transition error correction model for the money demand function in Taiwan. Then through the serial correlation test, the normality test, the conditional heteroscedasticity for error, and the Ramsey’s model specification test, we find that use logistic smooth transition error correction model to analyze the adjustment behavior of money demand function in Taiwan than linear error correction model, and short-run dynamic adjustment have asymmetric smooth transition process.
Huang, Tsung-Bin, and 黃聰斌. "The Permanent Shocks Analysis on Money Demand Function in Taiwan." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/15373181488201338919.
Full textShih, Ren-Yu, and 石任育. "Demand Function for Money and Stock Price :The Case of BRICS." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/9pxsk8.
Full textHsu, Chih-Chia, and 許志嘉. "An Empirical Analysis of the Money Demand Function in China：Using Nonlinear Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/76136454082964337271.
Full text逢甲大學
經濟學所
92
Most models of the past research on macroeconomic variables are linear ones. However, since Granger and Teräsvirta proposed the smooth transition regression(STR) methodology, discussing macroeconomic variables by applying nonlinear models are going to be the mainstream. Because the money demand function of mainland China was almost discussed by linear models in the past research, we will discuss it by nonlinear models to test and diagnose if the money demand of mainland China exists any nonlinear forms which will be compared with other linear models. Empirical results indicate that real M1,real GDP, and saving deposit rate have a long term relationship under some specific threshold value. On the selection of choosing models, it is more suitable to select the LSTR model which has better capacity than other linear models to explain macroeconomic meanings.
Fang, Yi-feng, and 方怡丰. "The Empirical Evidence for Trading Money Demand Function of Taiwan-Stochastic Cointegration." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/64806946430920261057.
Full text國立中山大學
經濟學研究所
93
In the system of Taiwan, if the demand function is given, then the Central Bank can improve economic growth and steady price by controlling the money supply. In fact, true money demand is unknown, so focal point of my paper is to estimate trading money demand function of Taiwan. First, I get that real income, real M1B, and nominal rate are integrated of order 1 processes by using Augmented Dickey-Fuller test (ADF test) , Phillips-Perron test (PP test) , and Ng-Perron (NP test) . In the conventional model of Engle and Granger (1987) , I use Johansen’s (1988, 1991) maximun likelihood method to estimate co-integrating vector. The result is the same with Ching-Nun Lee (1996) . In the conventional model of Engle and Granger, a linear combination of individually I(1) series becomes I(0). Series have cointegration, but their linear combination is not I(0). Therefore the conventional model of Engle and Granger does not encompass all non-stational economic models. Harris, McCabe, and Leybourne (2002) provided the stochastic cointegration. The stochastic cointegration allows that a linear combination of individually I(1) series is not I(0). Therefore, my paper also uses stochastic cointegration to test trading money demand of Taiwan. The result is real M1B, real income, and one month rate have stochastic cointegration.
Hsu, Pi-Chwen, and 許碧純. "The Money Demand Function Revisited Evidence from Financial Risk Using Taiwan Data." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/38737824993806518112.
Full textChou, Yi Lang, and 周義朗. "The Estimation of Money Demand Function in Taiwan- An Application of Genetic Programming." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/81311632094040165606.
Full text真理大學
財經研究所
95
Relative variables of shopping time model proposed by Hueng (1999) are quoted in Genetic Programming (GP) to find out a better model of Money Demand. Comparing with Ordinary Least Squares (OLS) regression model and nonlinear Smooth Transition Error Correction Model, Genetic Programming outperforms the two models. In the meantime, GP estimation model is also shown as a Non-linear form.
余詩婷. "The Money Demand Function in Currency Crisis- Evidence for Taiwan、Korea and Singapore." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/90094352275009048584.
Full text義守大學
財務金融學系
92
In this article, we test money demand functions of Taiwan, Korea and Singapore. Under currency crisis, we study the recursive of Error Correction Model (Hansen and Johansen; 1993 and 1999) to discuss that whether there is structure change between cointegration vector and long-run coefficient or not. If structure change happened, we can apply Vector Error Correction Model (VECM) (Johansen ;1988,1991,1995a) Fully Modified Ordinal Least Squares estimator (FM-OLS) (Phillips and Loretan; 1990) to find recursive coefficient and t value of individual explanatory variable of money demand with recursive of fixed-length windows. And we consider whether there is structure change between response and explanatory variables or not. We also test that interest rate of domestic money market and money demand are positive relation when the population expects large variation in exchange rate. The empirical result present as follows: 1.There is certainly structure change between cointegration vector and long-run coefficient in money demand functions of Taiwan, Korea and Singapore under money crisis 2.Under currency crisis, the population expecting large variation in exchange rate makes that interest rate of domestic money market and money demand are positive relation and theory of liquidity preference (Keynes) will not hold.
Chung, Jia-Jung, and 鍾佳融. "Anticipated Fiscal Policy and Exchange Rate Dynamics:the Implicatioon of Alternative Money Demand Function Specification." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/87447750000607399448.
Full textChang, An-Xing, and 張安興. "The Application of Random Coefficient Estimation Model to Analyze the Money Demand Function in Taiwan." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/93505715533802450495.
Full text中興大學
應用經濟學系所
95
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.
Huang, Wei-Chien, and 黃暐茜. "A Study on the Impact of 2008 US Financial Crisis on Taiwan''s Money Demand Function." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/35857746807124451511.
Full text銘傳大學
風險管理與保險學系碩士班
99
Over the years, the stability of money demand function in the empirical research, in the academic circles has been the main focus of the research; in the monetary policy, only in a stable demand for money, the central bank can take to reach its preset Objectives, thus contributing to the development of the economy, therefore, to find a stable money demand function is necessary. This papers utilized regression analysis, co-integration analysis and error correction model to investigate the stability of money demand function. Use the 1982-2008 season of data to investigate the money demand function and the three monetary aggregates-M1a, M1b, and M2 which are stability of money demand function or not. With reference to Wu Yi Juan (2006) "Study of the stability of money demand" approach. The first part is to use regression analysis to compare the general model and the partial adjustment model estimates, respectively, testing the elasticity of money demand of a significant effect. The second part is in the Johansen- Juselius (1990) co-integration test using the single currency variable to whether the steady state, And to test the correlation between the non- co-integration relationship with a significant effect. The third part is the error correction model, testing samples of the error term, respectively, during the whole period with the sub-sample of the significant effect of self-correlation test. Finally, after the analysis of the above results, integrated from 1982~2010, the quarterly money demand function in Taiwan and the three monetary aggregates-M1a, M1b, and M2 of the stability of money demand function, and the other for the financial crisis in 2008 Stability during the test, and then comparative analysis and make conclusions and to give monetary authorities some suggestions.
Chang, Shien-Lin, and 張憲霖. "The Dynamic Analysis of Taiwan Money Demand Function-Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/37560994936085202962.
Full textYang, Bi-Wen, and 楊百雯. "The Empirical Analysis of Money Demand Function in Mainland China-The Application of Cointegration and Error Correction Model." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/84240667349633423210.
Full textLu, Su-Lien, and 呂素蓮. "The LM Test for a VAR Model with Time Trend-The Cointegration Analysis on Money Demand Function in Taiwan." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/93348499889920403031.
Full textLee, Chia-Chen, and 李佳真. "The Analysis of Panic index on Taiwan’s Money Demand Function during 2008 US Financial Crisis and 2011 European Debt Crisis." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/92858678570027719128.
Full text銘傳大學
風險管理與保險學系碩士班
102
Taiwan is a small open economy. The 2008 US Financial Crisis and 2011 European Debt Crisis had affected world economy and financial situations, which might have also some significant impacts on Taiwan. Shou-Hsiang Liu and Jo-Tzu Yu(2012), in “The discussion of the effect on Taiwan’s money demand function caused by European debt crisis,” only study the effect of panic index on Taiwan’s money demand function during European debt crisis. It did not study the effect of panic index on Taiwan’s money function during 2008 US Financial Crisis. To improve our understanding on Taiwan’s money demand, this paper we will use panic index to analyze their effects on these periods.