The Study of Short-term Non-linear Dynamics Adjustment of Money Demand in China:Based on MS and VECM Method
用马尔可夫转换误差修正模型研究中国货币需求的非线性动态，发现收入弹性高于利率弹性，且货币失衡调整速度取决于货币状况。
This paper investigates possible non-linearity in the dynamics of money demand in China.A long-run money demand relationship is firstly estimated over a sample period from Feb.2000 to Sept.2009.There are indications of non-linearity in the residuals of the error-correction model.This non-linearity is explicitly modeled using Markov switching error-correction model.The empirical findings of the paper is that the estimated income elasticity of the demand for money is higher than the interest rate elasticity,and the differences in the speed of monetary disequilibria adjustment depend on the prevailing monetary conditions.