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Evidence on nonlinear error correction in money demand: the case of Taiwan

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Abstract:

This paper proposes a nonlinear error-correction model based upon smooth transition regression methodology. The model is specified such that the short-run adjustment toward long-run equilibrium is nonlinear and that the error correction is a smooth function of long-run deviation. Empirical results obtained from estimating M2 money demand in Taiwan support the hypothesis of a nonlinear error-correction process and provide better interpretation of change in the demand for money.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840010017631

Publication date: October 20, 2001

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