A Research on the Risk of Coefficients of Money Demand –An Analysis on Dynamic estimation and Stability

• Main Authors: Ya-Li Huang, 黃雅儷
• Other Authors: Shou-Hsiang Liu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/59600930892871820277

碩士 === 銘傳大學 === 風險管理與保險學系碩士班 === 98 === A stable money demand is the prerequisite on whether central bank can adopt monetary aggregate for the conduct of monetary policy. By that it mainly means that the long-term coefficient of income, interest rate of the demand money would not be rejected by the statistical stability test. Wu Yi-Juan (2006) had only conducted that test on M2, whereas the test on M1a, M1b had been excluded. This study criticizes this omission and conduct a comparison stability test on M1a, M1b, and M2. In addition, Wu Yi-Juan (2006) used cointegration model to estimate the dynamic long-term coefficients of money demand. The method it used was "fixed the end of the sample points, successive reduction of the initial sample points." This also study criticizes this method and assumes that an appropriate approach to estimate the dynamic long-term coefficients of money demand should "use within sample forecast technique, that is to select a point of time within the sample period, and extend that sample point forward successively." After estimation, this paper explores the stability of the dynamic long-term coefficients of money demand. The conclusions are the following: 1.The long-term coefficient recursive estimation showed the long-term relationships of macroeconomic variables are stable. 2.The opportunity cost measures showed the stability between the whole variables that were short-spread interest rate and the expected inflation rate that was better than interest rate.