抄録
In this paper, a unit root of cumulative call rate is investigated with Monte Carlo experiments. call rate is shown to be I(0) with a linear trend in [1970, 1998]. Vector Error Correction model consists of only I(1) variables in a frame work of Johansen's cointegration analysis, and stationary variables like a call rate are often added to the RHS of the resultant VEC model without considering cointegration. However, if cumulative call rate is I(1), this variable should be contained in cointegration analysis. Since call rate has a linear trend, a unit root of cumulative call rate should be checked around a quadratic trend. MacKinnon's critical values for unit root are extended to a quadratic trend case with Monte Carlo simulation experiments It is shown that cumulative call rate has a unit root with a quadratic trend. Cointegration properties are investigated among cumulative call rate, GDP, money supply and bank loan and VEC model is constructed.
