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A new monetary aggregates measurement: Application to Taiwanese data


  • Ju-Ann Yang

    () (Department of Money and Banking, National Kaohsiung First University of Science and Technology)

  • Shyan-Rong Chou

    () (Department of Money and Banking, National Kaohsiung First University of Science and Technology)

  • Chen-Hsun Lee

    () (Graduate Institute of Management, National Kaohsiung First University of Science and Technology)


This paper compares the different dynamics of simple sum monetary aggregates and PLS indexes over the business cycle, which have turning points at economic expansion and recession phases. We also investigates the long run relationship between monetary aggregates and GDP, to utilize the data in the most efficient manner via the nonparametric rank test of cointegration analysis proposed by Breitung (2001), and the impulse response functions to find the response of GDP to innovations in PLS and simple sum aggregates from 1969Q1 to 2010Q3.

Suggested Citation

  • Ju-Ann Yang & Shyan-Rong Chou & Chen-Hsun Lee, 2011. "A new monetary aggregates measurement: Application to Taiwanese data," Economics Bulletin, AccessEcon, vol. 31(1), pages 905-915.
  • Handle: RePEc:ebl:ecbull:eb-10-00139

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    References listed on IDEAS

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    6. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    7. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    8. Carrion-i-Silvestre, Josep Lluis, 2005. "Health care expenditure and GDP: Are they broken stationary?," Journal of Health Economics, Elsevier, vol. 24(5), pages 839-854, September.
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    More about this item


    monetary aggregates; PLS; business cycle; cointegration; impulse response functions;

    JEL classification:

    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling


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