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Smooth transition in China: New evidence in the cointegrating money demand relationship

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  • Anne laure Delatte

    ()
    (Rouen Business School)

  • Julien Fouquau

    ()
    (Rouen Business School and LEO)

Abstract

Using linearity tests proposed by Choi and Saikkonen (2004), this paper finds evidence of a non-linear cointegrating money demand relationship in China during the 1987-2008 period and identifies potential explanations for this non-linearity.

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File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I1-P22.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 30 (2010)
Issue (Month): 1 ()
Pages: 265-273

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Handle: RePEc:ebl:ecbull:eb-09-00767

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Keywords: China Money Demand; Non-linearity; Cointegrating STR.;

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References

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  1. Chien-Chiang Lee & Mei-Se Chien, 2008. "Stability of money demand function revisited in China," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3185-3197.
  2. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
  3. van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. Jes�s Gonzalo & Jean-Yves Pitarakis, 2006. "Threshold Effects in Cointegrating Relationships," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 813-833, December.
  5. González, Andrés & Teräsvirta, Timo & van Dijk, Dick, 2005. "Panel Smooth Transition Regression Models," Working Paper Series in Economics and Finance 604, Stockholm School of Economics.
  6. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  7. Chow, Gregory C., 1987. "Money and price level determination in China," Journal of Comparative Economics, Elsevier, vol. 11(3), pages 319-333, September.
  8. In Choi & Pentti Saikkonen, 2004. "Testing linearity in cointegrating smooth transition regressions," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 341-365, December.
  9. Bernard Laurens & Rodolfo Maino, 2007. "China," IMF Working Papers 07/14, International Monetary Fund.
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Cited by:
  1. Fredj Jawadi & Sushanta K. Mallick & Ricardo M. Sousa, 2011. "Monetary Policy Rules in the BRICS: How Important is Nonlinearity?," NIPE Working Papers 18/2011, NIPE - Universidade do Minho.

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