The relationship between foreign exchange reserves and money supply -A study applying the Panel smooth transition regression
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 97 === This paper employs panel smooth transition regression to investigate the non-linear relationship between money supply and foreign exchange reserves. Using money supply/foreign exchange reserves ratio as threshold variable, we study whether the influences of t...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31498416320998406480 |
| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 97 === This paper employs panel smooth transition regression to investigate the non-linear relationship between money supply and foreign exchange reserves. Using money supply/foreign exchange reserves ratio as threshold variable, we study whether the influences of the change rate of foreign exchange reserves on the change rate of money supply are the same between the different money supply/foreign exchange reserves ratio regimes, employing monthly panel data of 35 countries from 1990 to 2006 and 1999 to 2006. The empirical results confirm the nonlinearity of link between the change rate of foreign exchange reserves and the change rate of money supply. They are positive relationships between these two variables no matter in higher or lower regimes. Being in higher levels of money supply/foreign exchange reserves ratio, the monetary authority will execute sterilization policy, which causes the change rate of money supply to change rate of foreign exchange reserve being decreasing.
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