58
Views
0
CrossRef citations to date
0
Altmetric
Article

Nonlinear cointegration analysis of China’s money demand function stability

, , &
Pages 140-157 | Received 08 Jun 2023, Accepted 26 Sep 2023, Published online: 27 Oct 2023

References

  • Mundell RA. Capital mobility and stabilization policy under fixed and flexible exchange rates. Can j Econ Polit Sci. 1963;29(4):475–485. doi: 10.2307/139336
  • Dornbusch R. Expectation and exchange rate dynamics. J Political Econ. 1976;84(6):1161–1176. doi: 10.1086/260506
  • Friedman M. Money and the stock market. J Political Econ. 1988;96(2):221–245. doi:10.1086/261534
  • Mankiw GN, “The reincarnation of Keynesian economics,” NBER Working Paper, No.3885, 1991.
  • Shu XH, Lei QL, Song JQ. The research of rank test for unit roots and its application. Statistical Research. 2009;9:101–107.
  • Yi G. Monetary supply and demand and inflation in China. Economic Research. 1995;5:51–58.
  • Yi G. Analysis of China’s financial asset structure and its policy implications. Economic Research. 1996;12:26–33.
  • Qin D. Monetary demand relationship since the reform. Economic Research. 1997;10:16–25.
  • Pesaran MH, Shin Y, Smith RJ. Bounds testing approaches to the analysis of level relationships. J of Applied Econometrics. 2001;16(3):289–326. doi:10.1002/jae.616
  • Pang J, Li W. A literature review on the research of China’s monetary demand function. Theoretical Exploration. 2009;150(5):102–104.
  • Wang X. Statistical research on China’s monetary demand function and monetary gap. Statistical Research. 2011;28(12):49–54.
  • Lütkepohl H, Teräsvirta T, Wolters J. Investigating stability and linearity of a German M1 money demand function. J Appl Econ. 1999;14(5):511–525. doi: 10.1002/(SICI)1099-1255(199909/10)14:5<511:AID-JAE529>3.0.CO;2-C
  • Sarno L, Taylor M, Peel DA. Nonlinear equilibrium correction in U.S. real money balances, 1869-1997. Journal Of Money, Credit And Banking. 2003;35(5):787–799. doi: 10.1353/mcb.2003.0039
  • Haug AA, Tam J. A closer look at long-run US money demand: linear or nonlinear error-correction with M0, M1, or M2? Econ Inq. 2007;45(2):363–376. doi:10.1111/j.1465-7295.2006.00007.x
  • Wu JL, Hu YH. Currency substitution and nonlinear error correction in Taiwan’s demand for broad money. Appl Econ. 2007;39(13):1635–1645. doi: 10.1080/09603100600675631
  • Song JQ, Lei QL. Exchange rate change and nonlinear error correction of money demand in China. Journal Of Finance And Economics. 2009;2:86–98.
  • Shu XH, Lei QL, Song JQ. Research on rank test for nonlinear cointegration and its response surface function. Statistical Research. 2011;8:92–98.
  • McNown R, Wallace MS. Cointegration tests of a long-run relation between money demand and the effective exchange rate. Journal Of International Money And Finance. 1992;11(1):107–114. doi:10.1016/0261-5606(92)90024-R
  • Von Hagen J. Monetary union, money demand, and money supply: a review of the German monetary union. European Economic Review. 1993;37(4):803–827. doi:10.1016/0014-2921(93)90090-W
  • Hansen G, Kim JR. The stability of German money demand: tests of the cointegration relation. Weltwirtschaftliches Archiv. 1995;131(2):286–301. doi: 10.1007/BF02707436
  • Bahmani-Oskooee M, Shabsigh G. The demand for money in Japan: evidence from cointegration analysis. J World Econ. 1996;8(1):1–10. doi:10.1016/0922-1425(95)00002-X
  • Bahmani-Oskooee M, Martin MAG, Niroomand F. Exchange rate sensitivity of the demand for money in Spain. Appl Econ. 1998;30(5):607–612. doi:10.1080/000368498325598
  • Bahmani-Oskooee M, Barry MP. Stability of the demand for money in an unstable country: Russia. Journal Of Post Keynesian Economics. 2000;22(4):619–629. doi:10.1080/01603477.2000.11490262
  • Awad I, Soliman AM. The stability of the demand for money function in Islamic and non-Islamic monetary policy regimes. Economic Issues. 2016;21(1):67–85.
  • Phillips PCB, Hansen BE. Statistical inference in instrumental variables regression with I (1) processes. Rev Econ Stud. 1990;57(1):99–125. doi:10.2307/2297545
  • Bahmani-Oskooee M. How stable is M2 money demand function in Japan? J World Econ. 2001;13(4):455–461. doi:10.1016/S0922-1425(01)00064-0
  • Bahmani-Oskooee M, Ng RCW. Long-run demand for money in Hong Kong: an application of the ARDL model. Int J Bus Econ. 2002;1(2): 147.
  • Bahmani-Oskooeea M, Rehmanb H. Stability of the money demand function in Asian developing countries. Appl Econ. 2005;37(7):773–792. doi: 10.1080/0003684042000337424
  • Bahmani-Oskooee M, Wang Y. How stable is the demand for money in China? Journal Of Economic Development. 2007;32(1):21. doi:10.35866/caujed.2007.32.1.002
  • Canova L. Estimating demand for money in Jamaica. 2006. https://mpra.ub.uni-muenchen.de/1023/.
  • Tang CT. Aggregate import demand function for Japan: a cointegration re-investigation. Global Economic Review. 2008;37(3):363–377. doi:10.1080/12265080802273331
  • Achsani NA. Stability of money demand in an emerging market economy: an error correction and ARDL model for Indonesia. Research Journal Of International Studies. 2010;13:54–62.
  • Bhatta SR. Stability of money demand function in Nepal. Banking Journal. 2013;3(1):1–27. doi:10.3126/bj.v3i1.7508
  • Tweneboah G, Alagidede P. Currency substitution and stability of money demand in Ghana. J Developing Areas. 2018;52(2):41–53. doi:10.1353/jda.2018.0021
  • Lütkepohl H, Teräsvirta T, Wolters J. Investigating stability and linearity of a German M1 money demand function. J Appl Econ. 1999;14(5):511–525. doi: 10.1002/(SICI)1099-1255(199909/10)14:5<511:AID-JAE529>3.0.CO;2-C
  • Sarno L, Mark Taylor P, David AP. Nonlinear equilibrium correction in US real money balances, 1869-1997. Journal Of Money, Credit And Banking. 2003;35(5):787–799. doi: 10.1353/mcb.2003.0039
  • Escribano A. Nonlinear error correction: the case of money demand in the United Kingdom (1878–2000). Macroecon Dynam. 2004;8(1):76–116. doi:10.1017/S1365100503030013
  • Choi I, Saikkonen P. Testing linearity in cointegrating smooth transition regressions. Econom J. 2004;7(2):341–365. doi:10.1111/j.1368-423X.2004.00134.x
  • Bae Y, De Jong RM. Money demand function estimation by nonlinear cointegration. J Appl Econ. 2007;22(4):767–793. doi:10.1002/jae.915
  • Lee CC, Chen PF, Chang CP. Testing linearity in a co-integrating STR model for the money demand function: international evidence from G-7 countries. Math Comput Simul. 2007;76(4):293–302. doi:10.1016/j.matcom.2006.12.012
  • Sahin A. Yumuşak Geçişli Bağlaşım Modeli Ile Enflasyon Belirsizliği Altında Para Talebi Fonksiyonunun Tahmini (Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey). SSRN Electron J. 2013. doi: 10.2139/ssrn.2308572
  • Zarra-Nezhad M, Ansari MS, Moradi M. Money demand and inflation: a linear or threshold relation? Economic Review. 2015;44(4):452–475.
  • Wang GS, Yang Y. Empirical studying on the stability of China’s monetary demand function based on international capital flowing. Journal Of Finance And Economics. 2006;10:17–25.
  • Xiang HJ, Pan XQ. A study of China’s money demand function including asset factors in an open framework. Economic Science. 2011;10:43–56.
  • Liu JQ, Zhang WG, Yu D. Empirical analysis of the stability of money demand function in China. Management Sciences In China. 2006;8:62–67.
  • Xie RM, Ma YX. Long-and short-run money demand determinants in China: analysis based on the data before the global financial crisis. Chinese Review Of Financial Studies. 2012;8:75–82.
  • Dong HJ, Song YQ, Lyu P. The model estimation and policy suggestions of the Chinese money demand function. Science Research Management. 2015;36(8):136–143.
  • Hallman LT, White H, Granger CWJ. Testing for neglected Nonlinearity in time series models: a comparison of neural network methods and alternative tests. J Econom. 1993;56(3):269–290. doi: 10.1016/0304-4076(93)90122-L
  • Park JY, Phillips PCB. Asymptotics for nonlinear transformations of integrated time series. Econ Theory. 1999;15(3):269–298. doi:10.1017/S0266466699153015
  • Chang Y, Park JY, Phillips PCB. Nonlinear econometric models with cointegrated and deterministically trending regressors. Econom J. 2001;4(1):1–36. doi:10.1111/1368-423X.00054
  • Dufrénot G, Valérie M. Recent developments in nonlinear cointegration with applications to macroeconomics and finance. The Netherlands: Kluwer Academic Publishers; 2002.
  • Mcleod AI, Li WK. Diagnostic Checking ARMA time series models using squared residual Autocorrelations. Journal Of Time Series Analysis. 1983;4(4):169–176. doi: 10.1111/j.1467-9892.1983.tb00373.x
  • Hinich MJ. Testing for Gaussianity and linearity of a stationary time series. J Time Series Analysis. 1982;3(3):169–176. doi: 10.1111/j.1467-9892.1982.tb00339.x
  • Ashley R, Patterson D, Hinich M. A diagnostic test for nonlinear serial dependence in time series Fitting Errors. J Time Series Analysis. 1986;7(3):165–178. doi: 10.1111/j.1467-9892.1986.tb00500.x
  • Broock WA, Scheinkman JA, Dechert WD, et al. A test for independence based on the correlation dimension. Econometric Reviews. 1996;15(3):197–235. doi: 10.1080/07474939608800353
  • Shu X, “Nonparametric methods and their applications for nonlinear cointegrated time series,” Doctoral dissertation, Jinan University, 2010.
  • Breitung J. Rank tests for nonlinear cointegration. Journal Of Business And Economic Statistics. 2001;19(3):331–340. doi: 10.1198/073500101681019981
  • Breitung J, Gouriéroux C. Rank tests for unit roots. J Econom. 1997;81(1):2–27. doi: 10.1016/S0304-4076(97)00031-6
  • Aparicio FM, Escribano A, Sipols AE. Range Unit-Root (RUR) test: Robust Against Nonlinearities, error distributions, structural break and outliers. J Time Series Analysis. 2006;27(4):545–576. doi:10.1111/j.1467-9892.2006.00474.x
  • White H. Economic prediction using neural networks: the case of IBM stock prices. Proceedings of the IEEE Second International Conference on Neural Networks; San Diego, CA, USA, 1988. p. 451–458.
  • White H. Some asymptotic results for learning in single hidden-layer feedforward network models. J Am Stat Assoc. 1989;84(408):1003–1013. doi: 10.1080/01621459.1989.10478865
  • Hornik K, Stinchcombe M, White H. Multilayer feedforward networks are universal approximators. Neural Networks. 1989;2(5):359–366. doi:10.1016/0893-6080(89)90020-8
  • Kuan CM, White H, Predicting appliance ownership using logit, neural networks and regression tree models[R]. BEBR Working Paper PP. 90–1647, 1990.
  • Kuan CM, Liu T. Forecasting exchange rate using feedforward and recurrent neural networks. J Appl Econ. 1995;10(4):347–364. doi: 10.1002/jae.3950100403
  • Zhang X, Zhang S. A study on nonlinear transformation of integrated time series. Journal Of Systems Engineering. 1998;13(2):70–77.
  • Zhang S, Fan Z. Cointegration theory and volatility model. Beijing: Tsinghua University Press; 2004.
  • Liu D, Zhang S. Nonlinear error correction model based on wavelet neural network and its prediction. Control And Decision. 2006;10:1114–1118.
  • Yi XJ. Demand for money in open economy: the case of China. J World Econ. 2006;4:49–59.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.