Smith, Ron P. and Chen, Xiaohong and Wohlfarth, Paul (2021) China's money demand in a Cointegrating Vector Error Correction Model. Journal of Asian Economics 75 (101338), ISSN 1049-0078.
|
Text
44581.pdf - Author's Accepted Manuscript Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (3MB) | Preview |
Abstract
This paper estimates open-economy macroeconomic models of the Chinese economy allowing for the structural change caused by the 1992 reforms. Unrestricted vector autoregressions, VARS, and cointegrating vector error correction models, VECMs, are estimated on quarterly data for the early reform period 1980-1992, and the later reform period, 1993-2018. Two long-run cointegrating vectors are identified, which can be interpreted as a long-run, money demand function and a long-run IS type income equation driven by export demand. The 1992 reforms involved a move to a more market oriented system and a transformation of financial institutions and this seems to be responsible for a change in the direction of effect of interest rates in both the IS and LM relationships.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | Money demand, Cointegration, China |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Applied Macroeconomics, Birkbeck Centre for |
| Depositing User: | Ron Smith |
| Date Deposited: | 03 Jun 2021 10:34 |
| Last Modified: | 10 Apr 2025 07:54 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/44581 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
