| Summary: | 碩士 === 義守大學 === 財務金融學系 === 92 === In this article, we estimate structural breaks for the long-run relations of money demand function in East Asian currency crisis in 1997- 98. Including East Asia six countries - Japan, China, Thailand, Malaysia, Indonesia, and Philippine. Using quarterly time series data to verify the return of money demand hypothesis which interest rate elasticity are positive when the population expects large variation in exchange rate.
We study the recursive estimate method (Hansen and Johansen, 1993, 1999) to discuss that whether there is structure change between the number of cointegrating vectors and cointegrating vector or not. And then we apply Vector Error Correction Model (VECM) (Johansen, 1995) and Fully Modified Ordinal Least Squares (FM-OLS) (Phillips and Hansen, 1990) which using recursive coefficient and t value to find micro-structure breaks in individual explanatory variable of money demand. The conclusion present as follows: (1). As the change rate of expected exchange rate is weak exogenous variable, except China, we find that the cointegrating relations of five countries’ money demand function had structural break in East Asian currency crisis shocks. (2). Using recursive VECM and recursive FM-OLS, we find when the population expecting large variation in exchange rate let interest rate elasticity are positive sign in Japan, China, Thailand and Malaysia. In Indonesia and Philippine is only positive, but not sign. (3). Under the impact of the crisis of the currency, namely during the expectancy exchange rate change rate is greater, the functional relation of domestic interest rate and money demand will be influenced by the fact that expect change rate of exchange rate and caused the structure to change.
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