| Summary: | 碩士 === 國立東華大學 === 經濟學系 === 102 === This paper discusses the stability of long-run money demand in Taiwan
by using time-varying cointegration method. We use a quarterly data from 1962Q1
to 2013Q4. Firstly, we use ADF test and PP test to make sure that all time series
data are I(1). Secondly, we employ Johansen cointegration test to examine whether the
money demand functions in Taiwan exist the long-run equilibrium relationships.
The empirical results show that money demand function are cointegrated regardless of the money supply
is measured in M1B or M2. Furthermore, we conduct a time-varying cointegrtion test to explore
whether the cointegrating vectors change over time. The empirical results indicate that the significant rejection of
time-invarying cointegrating vector, which means that money demand functions in Taiwan are
the time-varying cointegration.
With the fast development of financial market, the impact of the stock market
on money demand increases much more rapidly. Therefore, we also include the real
trading values of stock exchange as the explantory variables in money demand funtion.
The empirical results show that money demand functions in Taiwan also exist the time-varying cointegration
when the real trading values of stock exchange are included in money demand funtion.
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