Original

Authors: SHEN, CHUNG-HUA¹; HUANG, TAI-HSIN²

Source: International Economic Journal, Volume 13, Number 3, Number 3/Autumn 1999 , pp. 97-123(27)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

This paper employs a seasonal error correction model (SECM) to examine the stability of Taiwan's 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 exports 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 the 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]

Document Type: Research article

DOI: http://dx.doi.org/10.1080/10168739900080024

Affiliations: 1: National Chengchi University 2: Tamkang University

Publication date: 1999-09-01