Long-run money demand in Taiwan revisited: evidence from a cointegrating STR approach

References

• Andrews , DWK . 1991 . Heteroskedasticity and autocorrelation consistent covariance matrix estimation . Econometrica , 59 : 817 – 58 .
   Web of Science ®Google Scholar
• AREMOS economic-statistic data banks, the Taiwan Economic Statistical Databank System (TESD), created jointly by the Ministry of Education and National Taiwan University
   Google Scholar
• Baba , Y , Hendry , DF and Starr , RM . 1992 . The demand for M1 in the USA, 1960–1988 . Review of Economic Studies , 59 : 25 – 61 .
   Web of Science ®Google Scholar
• Bahmani-Oskooee , M and Rehman , H . 2005 . Stability of the money demand function in Asian developing countries . Applied Economics , 37 : 773 – 92 .
   Web of Science ®Google Scholar
• Baharumshah , AZ . 2004 . Stock prices and long-run demand for money: evidence from Malaysia . International Economic Journal , 18 : 389 – 407 .
   Google Scholar
• Baumol , WJ . 1952 . The transactions demand for cash: an inventory theoretic approach . Quarterly Journal of Economics , 66 : 545 – 56 .
   Web of Science ®Google Scholar
• Breuer , JB and Lippert , AF . 1996 . Breaks in money demand . Southern Economic Journal , 63 : 496 – 506 .
   Web of Science ®Google Scholar
• Chaisrisawatsuk , S , Sharma , SC and Chowdhury , AR . 2004 . Money demand stability under currency substitution: some recent evidence . Applied Financial Economics , 14 : 19 – 27 .
   Google Scholar
• Chen , SL and Wu , JL . 2005 . Long-run money demand revisited: evidence from a nonlinear approach . Journal of International Money and Finance , 24 : 19 – 37 .
   Web of Science ®Google Scholar
• Choi , I and Saikkonen , P . 2004 . Testing linearity in cointegrating smooth transition regressions . Econometrics Journal , 7 : 341 – 65 .
   Google Scholar
• Choudhry , T . 1996 . Real stock prices and the long-run money demand function: evidence from Canada and the USA . Journal of International Money and Finance , 15 : 1 – 17 .
   Web of Science ®Google Scholar
• Choudhry , T . 1999 . Does interest rate volatility affect the US M1 demand function? Evidence from cointegration . The Manchester School , 67 : 621 – 48 .
   Google Scholar
• Cuthbertson , K and Taylor , MP . 1992 . A comparison of the rational expectations and the general-to-specific approaches to modelling the demand for M1 . Manchester School of Economic and Social Studies , 60 : 1 – 22 .
   Google Scholar
• Engle , RF and Granger , CWJ . 1987 . Co-integration and error-correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
   Web of Science ®Google Scholar
• Frenkel , JA and Taylor , MP . 1993 . Money demand and inflation in yugoslavia . Journal of Macroeconomics , 15 : 455 – 81 .
   Web of Science ®Google Scholar
• Friedman , M . 1956 . “ The quantity theory of money: a restatement ” . In Studies in the Quantity Theory of Money , Edited by: Friedman , M . 3 – 21 . Chicago : University of Chicago Press .
   Google Scholar
• Friedman , M . 1988 . Money and the stock market . Journal of Political Economy , 96 : 221 – 45 .
   Web of Science ®Google Scholar
• Friedman , M and Kuttner , KN . 1992 . Money, income, prices and interest rates . American Economic Review , 82 : 472 – 92 .
   Web of Science ®Google Scholar
• Hafer , RW and Jansen , DW . 1991 . The demand for money in the United States: evidence from cointegration tests . Journal of Money, Credit, and Banking , 23 : 155 – 68 .
   Web of Science ®Google Scholar
• Hamburger , M and Keran , M . 1987 . A stable money demand function . Contemporary Policy Issues , 5 : 34 – 40 .
   Google Scholar
• Hamburger , M and Kochin , L . 1972 . Money and stock prices: the channels of influence . Journal of Finance , 27 : 231 – 49 .
   Web of Science ®Google Scholar
• Hamori , S and Tokihisa , A . 2001 . Seasonal cointegration and the money demand function: some evidence from Japan . Applied Economics Letters , 8 : 305 – 10 .
   Web of Science ®Google Scholar
• Haug , AA and Lucas , RF . 1996 . Long-run money demand in Canada: in search of stability . The Review of Economics and Statistics , 78 : 345 – 8 .
   Web of Science ®Google Scholar
• Herwartz , H and Reimers , HE . 2003 . Seasonal cointegration analysis for German M3 money demand . Applied Financial Economics , 13 : 71 – 8 .
   Google Scholar
• Huang , CJ , Lin , CFJ and Cheng , JC . 2001 . Evidence on nonlinear error correction in money demand: the case of Taiwan . Applied Economics , 33 : 1727 – 36 .
   Web of Science ®Google Scholar
• Huang , TH and Shen , CH . 2002 . Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand . Journal of Econometrics , 111 : 11 – 46 .
   Web of Science ®Google Scholar
• Khadaroo , A . 2003 . A smooth transition regression equation of the demand for UK M0 . Applied Economics Letters , 10 : 769 – 73 .
   Web of Science ®Google Scholar
• Lutkepohl , H , Terasvirta , T and Wolters , J . 1999 . Investigating stability and linearity of a German M1 money demand function . Journal of Applied Econometrics , 14 : 511 – 25 .
   Web of Science ®Google Scholar
• MacDonald , R and Taylor , MP . 1992 . A stable US money demand function, 1874–1975 . Economics Letters , 39 : 191 – 8 .
   Web of Science ®Google Scholar
• Miller , MH and Orr , D . 1966 . A model of the demand for money by firms . Quarterly Journal of Economics , 80 : 413 – 35 .
   Web of Science ®Google Scholar
• Muscatelli , VA and Papi , L . 1990 . Cointegration, financial innovation, and modeling the demand for money in Italy . Manchester School of Economic and Social Studies , 58 : 242 – 59 .
   Google Scholar
• Muscatelli , VA and Spinelli , F . 1996 . Modeling monetary trends in Italy using historical data: the demand for broad money 1861–1990 . Economic Inquiry , 34 : 579 – 96 .
   Web of Science ®Google Scholar
• Nagayasu , J . 2003 . A re-examination of the Japanese money demand function and structural shifts . Journal of Policy Modeling , 25 : 359 – 75 .
   Web of Science ®Google Scholar
• Neftci , SA . 1984 . Are economic time series asymmetric over the business cycle? . Journal of Political Economy , 92 : 307 – 28 .
   Web of Science ®Google Scholar
• Nelson , C and Ploseer , C . 1982 . Trends and random walks in macroeconomic time series . Journal of Monetary Economics , 10 : 139 – 62 .
   Web of Science ®Google Scholar
• Newey , W and McFadden , DL . 1994 . “ Large sample estimation and hypothesis testing ” . In Handbook of Econometrics , Edited by: Engle , RF and McFadden , DL . Vol. 4 , 2113 – 445 . Berkeley : MIT .
   Google Scholar
• Ordónez , J . 2003 . Stability and nonlinear dynamics in the broad demand for money in Spain . Economics Letters , 78 : 139 – 46 .
   Google Scholar
• Phylaktis , K and Taylor , MP . 1992 . The monetary dynamics of sustained high inflation: taiwan, 1945–1949 . Southern Economic Journal , 58 : 610 – 22 .
   Web of Science ®Google Scholar
• Phylaktis , K and Taylor , MP . 1993 . Money demand, the cagan model and the inflation tax: some latin american evidence . Review of Economics and Statistics , 75 : 32 – 7 .
   Web of Science ®Google Scholar
• Pötscher , B and Prucha , IR . 1997 . Dynamic Nonlinear Econometric Models , Springer-Verlag .
   Google Scholar
• Saikkonen , P . 1991 . Asymptotically efficient estimation of cointegration regressions . Econometric Theory , 7 : 1 – 21 .
   Web of Science ®Google Scholar
• Saikkonen , P and Choi , I . 2004 . Cointegrating smooth transition regressions . Econometric Theory , 20 : 301 – 40 .
   Web of Science ®Google Scholar
• Sarno , L . 1999 . Adjustment costs and nonlinear dynamics in the demand for money: Italy, 1861–1991 . International Journal of Finance and Economics , 4 : 155 – 77 .
   Web of Science ®Google Scholar
• Sarno , L , Taylor , MP and Peel , DA . 2003 . Nonlinear equilibrium correction in U.S. real money balances, 1869–1997 . Journal of Money, Credit and Banking , 35 : 787 – 99 .
   Web of Science ®Google Scholar
• Stock , JH and Watson , MW . 1993 . A simple estimator of cointegrating vectors in higher order integrated systems . Econometrica , 61 : 783 – 820 .
   Web of Science ®Google Scholar
• Taylor , MP . 1993 . Modelling the demand for U.K. broad money, 1871–1913 . Review of Economics and Statistics , 75 : 112 – 7 .
   Web of Science ®Google Scholar
• Taylor , MP . 1994 . On the reinterpretation of money demand regressions . Journal of Money, Credit, and Banking , 26 : 851 – 66 .
   Web of Science ®Google Scholar
• Teräsvirta , T and Eliasson , AC . 2001 . Nonlinear error correction and the U.K. demand for broad money, 1878–1993 . Journal of Applied Econometrics , 16 : 277 – 88 .
   Web of Science ®Google Scholar
• Wolters , JT , Teräsvirta , T and Lutkepohl , H . 1998 . Modelling the demand for M3 in the United Germany . Review of Economics and Statistics , 80 : 399 – 409 .
   Web of Science ®Google Scholar
• Wu , CS , Lin , JL and Tiao , GC . 2005 . Is money demand in Taiwan stable? . Economic Modelling , 22 : 327 – 46 .
   Google Scholar