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

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Author Info

  • Julien Fouquau

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

  • Anne-Laure Delatte

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

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 nonlinearity.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number hal-00565520.

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Date of creation: 18 Jan 2010
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Publication status: Published, Economics Bulletin, 2010, vol.30, n°1, pp.265-273
Handle: RePEc:hal:journl:hal-00565520

Note: View the original document on HAL open archive server: http://hal-rbs.archives-ouvertes.fr/hal-00565520
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Keywords: China Money Demand; Non-linearity; Cointegrating STR;

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References

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  1. van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
  2. Chow, Gregory C., 1987. "Money and price level determination in China," Journal of Comparative Economics, Elsevier, vol. 11(3), pages 319-333, September.
  3. 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.
  4. In Choi & Pentti Saikkonen, 2004. "Testing linearity in cointegrating smooth transition regressions," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 7(2), pages 341-365, December.
  5. James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers, Queen's University, Department of Economics 537, Queen's University, Department of Economics.
  6. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  7. 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.
  8. Bernard Laurens & Rodolfo Maino, 2007. "China," IMF Working Papers 07/14, International Monetary Fund.
  9. Chien-Chiang Lee & Mei-Se Chien, 2008. "Stability of money demand function revisited in China," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(24), pages 3185-3197.
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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, NIPE - Universidade do Minho 18/2011, NIPE - Universidade do Minho.

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