China's money demand in a cointegrating vector error correction model

Chen, Xiaohong; Wohlfarth, Paul; Smith, Ron

doi:10.1016/j.asieco.2021.101338

Cited by 6 publications

(3 citation statements)

References 33 publications

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“…For non-stationary sequences, a direct regression would result in "spurious regression". The co-integration regression was developed, but it could be performed only when the selected sequences were monointegral series of the same order [34,35]. A co-integration relationship means that two or more time series are non-stationary, but a linear combination among them is a stationary quantitative relation.…”

Section: The Co-integration Regressionmentioning

confidence: 99%

Green Household Technology and Its Impacts on Environmental Sustainability in China

Meng,

Zhang,

Wang

et al. 2023

Sustainability

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China has made a commitment to achieve carbon neutrality by 2060, and promoting a green lifestyle is an essential means to this end. The primary aim of this study is to investigate the asymmetric impact of green household technology on environmental sustainability in China. To that end, we have employed linear and non-linear auto-regressive distributed lag models to identify this complicated effect. The empirical results suggest that green household technology’s positive change exerts significant and negative effect on carbon emission in the short and long terms. And the impacts of green household technology’s negative change on carbon emission are significantly negative but smaller than its positive change in the long run, while insignificant in the short term. The estimates endorse the asymmetric impact of green household technology on carbon emissions both in the short and long term. This finding suggests that the improvement of green household technology can reduce carbon emissions, while a decline in it causes carbon emissions to rise, and technological retrogression plays a less influential role than its development. This research is a groundbreaking point in discussing the way towards environmental sustainability from a green household technology perspective, which considers the asymmetric effect and provides meaningful insights for China to achieve sustainable development.

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Section: The Co-integration Regressionmentioning

confidence: 99%

Green Household Technology and Its Impacts on Environmental Sustainability in China

Meng,

Zhang,

Wang

et al. 2023

Sustainability

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“…In general, the previous literature on money demand in China can be roughly divided into two groups based on the estimation method adopted (Bahmani-Oskooee & Wang, 2007) and the data employed (Chen et al, 2021). Studies in the first group applied standard estimation techniques to data from the pre-reform and/or early reform periods.…”

Section: Introductionmentioning

confidence: 99%

“…Early literature often argued that the interest rate was not a good measurement of the opportunity costs of holding money in China since the interest rate was not market oriented. The second group includes more recent studies that applied various cointegration approaches to data over the post-reform and/or late reform periods, for example, Lee and Chien (2008), Bahmani-Oskooee et al (2012), and Chen et al (2021). Many studies in the second group have concentrated on the stability of money demand in China, possible currency substitute effects, and probable appropriate additional determinants.…”

Section: Introductionmentioning

confidence: 99%

Demand for Money in China Based on Most Recent Data

Wang

2023

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China's banking sector has undergone remarkable changes since its economic reform in 1978. China eliminated its credit plan in 1998, and the banking sector was no longer strictly controlled by the government. We revisit China's demand for money after the banking sector moved toward being market-based. Structural break tests indicate that 2003Q1 is a breakpoint. Hence, we estimate money demand in China from 2004Q1 to 2022Q3. For comparison, we also carry out estimations for data from 1999Q1 to 2022Q3. We employ three different methods: Autoregressive Distributed Lags (ARDL), Dynamic Ordinary Least Squares (DOLS), and Fully Modified Ordinary Least Squares (FMOLS). Our results show that the income elasticity is approximately 1. Both the interest and inflation rates may reflect part of the opportunity costs of holding money. The results from both DOLS and FMOLS support the existence of the currency substitution effect. The Cumulative Sum of Recursive Residuals (CUSUM) and the cumulative sum of squares of recursive residuals (CUSUMSQ) stability tests suggest that the demand for money in China is stable in the long run.

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