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Estimation of Precautionary Demand Caused by Financial Anxieties
https://kyotogakuen.repo.nii.ac.jp/records/875
https://kyotogakuen.repo.nii.ac.jp/records/87526f88bfb-292c-4724-ad07-8a03ac32b6e6
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
15-3-morita (158.8 kB)
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| Item type | [ELS]紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2016-08-09 | |||||
| タイトル | ||||||
| タイトル | Estimation of Precautionary Demand Caused by Financial Anxieties | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | financial anxieties | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | precautionary demand | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | cointegration | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | EGARCH | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| 雑誌書誌ID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AN10373395 | |||||
| 著者 |
森田, 洋二
× 森田, 洋二× Morita, Yoji× Rahman, Jahanur× Miyagawa, Shigeyoshi |
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| 著者所属(英) | ||||||
| en | ||||||
| Department of Economics, Kyoto Gakuen University | ||||||
| 著者所属(英) | ||||||
| en | ||||||
| Department of Statistics, University of Rajshahi | ||||||
| 著者所属(英) | ||||||
| en | ||||||
| Department of Economics, Kyoto Gakuen University | ||||||
| 記事種別(日) | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 論文 | |||||
| 記事種別(英) | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Article | |||||
| 抄録(英) | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Pioneering work of modelling financial anxieties was given by Kimura et al. (1999) as psychological change of people due to financial shocks. Since they regressed financial position (easy or tight) by nonstationary interest rate, their results exhibit high peaks not only in financial crisis period of 1997 and 1998, but also in the bubble economy period of 1987 to 1989, which seems to be a spurious regression. Furthermore, defining financial anxieties as the conditional variance in TARCH model, one of estimated coefficients does not satisfy sign condition. We got rid of these difficulties by introducing a growth rate model, where a change of financial position (toward ’tight’) under a change of interest rate (toward ’fall’) is regarded as financial anxieties. Such anxieties are quantified by conditional variance of EGARCH model and shown to be stationary. Precautionary demand caused by financial anxieties is estimated in VEC model and it is shown that money adjusted by precautionary demand satisfies a long-run equilibrium relationship in the system (adjusted money, real GDP, interest rate) even in the interval 1980q1 to 2003q2. | |||||
| 書誌情報 | 巻 15, 号 3, p. 47-56, 発行日 2006-03-01 | |||||
| 表示順 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 3 | |||||
| アクセション番号 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | KJ00004993478 | |||||
