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

  • Julien Fouquau

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

  • Anne-Laure Delatte

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

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

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Date of creation: 18 Jan 2010
Date of revision:
Publication status: Published in Economics Bulletin, Economics Bulletin, 2010, vol.30, n°1, pp.265-273
Handle: RePEc:hal:journl:hal-00565520
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  1. González, Andrés & Teräsvirta, Timo & van Dijk, Dick, 2005. "Panel Smooth Transition Regression Models," SSE/EFI Working Paper Series in Economics and Finance 604, Stockholm School of Economics.
  2. Bernard Laurens & Rodolfo Maino, 2007. "China: Strengthening Monetary Policy Implementation," IMF Working Papers 07/14, International Monetary Fund.
  3. In Choi & Pentti Saikkonen, 2004. "Testing linearity in cointegrating smooth transition regressions," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 341-365, December.
  4. Chow, Gregory C., 1987. "Money and price level determination in China," Journal of Comparative Economics, Elsevier, vol. 11(3), pages 319-333, September.
  5. Jesus Gonzalo & Jean-Yves Pitarakis, 2006. "Threshold effects in cointegrating relationships," Economics Working Papers we20060621, Universidad Carlos III, Departamento de Economía.
  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. James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
  8. van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
  9. 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.
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