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題 名 | Estimation of the Money Demand Function Using a Correct Information Matrix=使用正確的訊息矩陣估計貨幣需求函數 |
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作 者 | 沈中華; | 書刊名 | 經濟論文叢刊 |
卷 期 | 23:2 1995.06[民84.06] |
頁 次 | 頁239-258 |
分類號 | 561.1 |
關鍵詞 | 訊息矩陣; 貨幣需求; Information matrix; Money demand; Opportunity cost; |
語 文 | 英文(English) |
中文摘要 | 由於一個月的定存利率是M2貨幣需求的報酬率,它對M2的影響有二種 可能:同方向或沒有影響。因此過去的實證文獻使用此利率卻發現其在M2貨幣需 求函數為顯著負號,基本上是牴觸貨幣理論的預期。造成此牴觸的原因可能是因 為貨幣需求函數中包含落後應變數,則傳統消除一階自我相關的方法並不適合, 本文證明一旦使用正確的方法,則一個月定存利率的確對M2貨幣需求函數沒有 影響。 |
英文摘要 | Using the one-month time deposit rate as an own ratein the M2 money demand equation, the argument developed in this paper suggests that the own rate coefficienton M2 is non-negative. Applying the Taiwan data from1965:3 through 1989:4 we find evidence supporting ourtheoretical prediction. This finding is in contrast to previous results that the relationship between M2 moneydemand and the one-month time deposit rate is negativein the Taiwan money demand function. This contradiction is due to the use of an incorrect information matrixin previous studies, leading to the rejection of the null hypothesis. When a correct information matrix is used, theinterest rate coefficient becomes insignificantly differentfrom zero. |
本系統中英文摘要資訊取自各篇刊載內容。