Money demand in China in the reform period: an error correction model

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36 citations0/0 files storedApplied Economics

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Monetary Policy and Economic Impact Economic Theory and Policy Economic theories and models

Abstract

Based on integration and cointegration test findings, this paper constructs an error correction (ECM) model to evaluate the dynamic adjustment process of money demand in China in the reform period (1979 to 1990). The cointegration tests suggest that some long-run relationship exists among money demand, real income, price, and the real interest rate. The ECM model shows that the dynamic adjustment process of money demand maintains stable and significant relationships to most of its determinants.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 2010Critical Values for Cointegration Tests 1991Long-Run Economic Relationships

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2012Economic and Monetary Uncertainty and the Demand for Money in China 2008Stability of money demand function revisited in China 2007Demand for Money in Transition: Evidence from China’s Disinflation 2002Interest rates, savings and income in the Chinese economy 2016Asymmetric effects of exchange rate changes on the demand for money in China 2009

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