Regime-switching properties of the optimal seigniorage hypothesis: the case of Taiwan
The optimal seigniorage hypothesis argues that the government will attempt to minimize the sum of social costs arising from the rate of inflation and taxation, which results in the testable prediction that inflation and rate of tax revenue will be positively correlated. This article empirically examines the regime-switching properties of this theory. Using quarterly data from Taiwan over 1961-2000 sampling periods, it finds that the optimal seigniorage hypothesis is weakly supported, and its explanatory power for the long-run inflation behaviour is weak.
Volume (Year): 35 (2003)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEC20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEC20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Van Norden, S. & Vigfusson, R., 1996.
"Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures,"
Staff Working Papers
96-3, Bank of Canada.
- Simon van Norden & Robert Vigfusson, 1996. "Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures," Econometrics 9603004, EconWPA.
- James G. MacKinnon, 1990.
"Critical Values for Cointegration Tests,"
1227, Queen's University, Department of Economics.
- James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
- Tom Doan, . "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components RTS00061, Boston College Department of Economics.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- N. Gregory Mankiw, 1987.
"The Optimal Collection of Seigniorage: Theory and Evidence,"
NBER Working Papers
2270, National Bureau of Economic Research, Inc.
- Mankiw, N. Gregory, 1987. "The optimal collection of seigniorage : Theory and evidence," Journal of Monetary Economics, Elsevier, vol. 20(2), pages 327-341, September.
- Simon van Norden & Huntley Schaller & ), 1995.
"Regime Switching in Stock Market Returns,"
- Kim, C-J., 1991.
"Dynamic Linear Models with Markov-Switching,"
91-8, York (Canada) - Department of Economics.
- Marta Campillo & Jeffrey A. Miron, 1997.
"Why Does Inflation Differ across Countries?,"
in: Reducing Inflation: Motivation and Strategy, pages 335-362
National Bureau of Economic Research, Inc.
- Garcia, Rene & Perron, Pierre, 1996.
"An Analysis of the Real Interest Rate under Regime Shifts,"
The Review of Economics and Statistics,
MIT Press, vol. 78(1), pages 111-25, February.
- Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Universite de Montreal, Departement de sciences economiques.
- René Garcia & Pierre Perron, 1995. "An Analysis of the Real Interest Rate Under Regime Shifts," CIRANO Working Papers 95s-05, CIRANO.
- Garcia, R. & Perron, P., 1990. "An Anlysis Of The Real Interest Rate Under Regime Shifts," Papers 353, Princeton, Department of Economics - Econometric Research Program.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- Poterba, J.M. & Rotemberg, J.J., 1989.
"Inflation And Taxation With Optimizing Governments,"
521, Massachusetts Institute of Technology (MIT), Department of Economics.
- Poterba, James M & Rotemberg, Julio J, 1990. "Inflation and Taxation with Optimizing Governments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(1), pages 1-18, February.
- James M. Poterba & Julio J. Rotemberg, 1988. "Inflation And Taxation With Optimizing Governments," NBER Working Papers 2567, National Bureau of Economic Research, Inc.
- Hall, Stephen G & Psaradakis, Zacharias & Sola, Martin, 1999. "Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 143-54, March-Apr.
- Mehmet Caner & Bruce E. Hansen, 2001.
"Threshold Autoregression with a Unit Root,"
Econometric Society, vol. 69(6), pages 1555-1596, November.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Tsung-Wu Ho, 2001. "Finite-sample properties of the bootstrap estimator in a Markov-switching model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(7), pages 835-842.
- Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:35:y:2003:i:4:p:485-494. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.