An Analysis of the Stability of Money Demand Functions Specified with a Divisia Monetary Aggregate as the Dependent Variable PDF Download
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Author: Richard J. Fendler
Publisher:
ISBN:
Category : Demand for money
Languages : en
Pages : 96
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Book Description
Author: Richard J. Fendler
Publisher:
ISBN:
Category : Demand for money
Languages : en
Pages : 96
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Book Description
Author: Palle Schelde Andersen
Publisher:
ISBN:
Category : Demand for money
Languages : en
Pages : 76
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Book Description
Author: Robert James Gordon
Publisher:
ISBN:
Category : Circular velocity of money
Languages : en
Pages : 50
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Book Description
The velocity of both M1 and M2 appears to have experienced a sharp and persistent downward shift during 1981 and 1982. The implications of this shift are reexamined within the context of the previous literature on quarterly econometric equations explaining the demand for money. The traditional specification of money demand equations popularized by Chow and Goldfeld relates real balances to output, interest rates, and lagged real balances, all expressed as log levels. A consistent finding has been a large coefficient on the lagged dependent variable. While this has been interpreted as indicating substantial adjustment costs in portfolio behavior, it is also consistent with lags or"inertia" in price adjustment due to the presence of long-term wage and price contracts. The fact that the traditional Chow-Goldfeld money demand specification encountered large post-sample prediction errors at the time of the first oil shock in 1973-75 may suggest that a new interpretation of adjustment costs is required. It may be costly to adjust nominal balances by shifting to alternative assets, but it is costless for agents to allow real balances to shrink in response to an unanticipated price shock, as in 1973-75. A substantial amount of evidence is provided on the relationship between money, income, and interest rates, using alternative dynamic specifications. The post-1973 prediction error in a demand equation for M1 is reduced by three-quarters when the equation is specified in nominal first-difference form rather than in the form of real levels in logs. Results indicate much smaller post-1979 prediction errors for equations describing "simple-sum" M2 than for simple-sum M1, Divisia M1,or for Divisia M2 measures of the money supply
Author: Dennis Hoffman
Publisher:
ISBN:
Category : Demand for money
Languages : en
Pages : 56
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Book Description
This study investigates the stability of long-run log-linear demand functions for narrowly defined monetary aggregates (M1, Monetary Base) in the U.S. during the post World War II period. The hypotheses that the individual time series which appear in such equations (real M1, real Monetary Base, real Personal Income and short-term and long-term nominal interest rates) all have unit roots cannot be rejected. The primary conclusion of this study is that with proper attention to the time series properties of the available data, there exists strong evidence in support of a stable equilibrium demand function for real balances in the post-World War II U.S. economy. The hypothesis of a unitary equilibrium real income elasticity (a velocity function) cannot be rejected. Further, the estimates of equilibrium interest elasticities are approximately -.5 to -.6 for real M1 and -.4 to -.5 for real monetary base. The estimated interest elasticities are significantly different statistically depending on whether long- term or short-term interest rates are used, but the observed differences in these estimates are not of economic significance.
Author: Mr.Subramanian S. Sriram
Publisher: International Monetary Fund
ISBN: 1451848544
Category : Business & Economics
Languages : en
Pages : 78
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Book Description
A stable money demand forms the cornerstone in formulating and conducting monetary policy. Consequently, numerous theoretical and empirical studies have been conducted in both industrial and developing countries to evaluate the determinants and the stability of the money demand function. This paper briefly reviews the theoretical work, tracing the contributions of several researchers beginning from the classical economists, and explains relevant empirical issues in modeling and estimating money demand functions. Notably, it summarizes the salient features of a number of recent studies that applied cointegration/error-correction models in the 1990s, and it features a bibliography to aid in research on demand for money.
Author: Hiroshi Fujiki
Publisher:
ISBN:
Category : Demand for money
Languages : en
Pages : 58
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Book Description
Author: Jagdish Handa
Publisher: Routledge
ISBN: 1134638094
Category : Business & Economics
Languages : en
Pages : 785
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Book Description
A comprehensive overview of advanced monetary economics, integrating the presentation of monetary theory with empirical formulations and their empirical tests. Unlike most texts this book brings together in a single unified source the core areas of monetary economics. Key features include: * cross-country comparison of central banking in the US, UK and developing countries * theories and empirical studies on money demand, including precautionary and buffer stock models and monetary aggregation * detailed comparison of Keynesian and modern classical macroeconomic theoretical and policy models * a focus on the role of money and financial institutions and growth.
Author: Mr.Philipp C. Rother
Publisher: International Monetary Fund
ISBN: 1451967624
Category : Business & Economics
Languages : en
Pages : 26
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Book Description
Regional monetary integration, financial liberalization, and the adoption of indirect policy instruments have changed the conditions for monetary policy in the West African Economic and Monetary Union (WAEMU). The stability of money demand has become a crucial element for monetary policy. This paper presents empirical money demand estimations for regional monetary aggregates and analyzes their stability and forecast performance. The estimations result in a stable relationship for narrow money (M1). Consequently, the region’;s central bank, the BCEAO, can continue to conduct monetary policy in line with the fixed exchange rate system if it succeeds in maintaining financial stability.
Author: A. W. Mullineux
Publisher: Edward Elgar Publishing
ISBN: 9781781959367
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
Financial Innovation, Banking and Monetary Aggregates reviews the impact of financial innovation on the measurement of money and presents the first collection of country studies appraising the usefulness of Divisia indices in deriving monetary aggregates. Monetary aggregates are traditionally formed by simply summing various monetary components such as cash and balances in savings and cheque accounts. The monetary usefulness, or 'moneyness', of these components differs and can change as a result of innovation in banking, monetary transmission and payment services. To gauge the importance of such distortions and the merits of alternative weighted monetary indices, particularly Divisia indices, this volume brings together authoritative empirical studies of countries including the US, the UK, Germany, France, Sweden, Italy and Japan. The authors conclude by showing how Divisia monetary indices act as a useful supplement to traditional monetary aggregates.
Author: W.A. Barnett
Publisher: Elsevier Science Limited
ISBN: 9780444501196
Category : Business & Economics
Languages : en
Pages : 712
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Book Description
William Barnett, the coeditor of this volume, introduced modern economic index number theory into monetary economics and this book comprises a focussed and unified collection of his most important publications in this area. It provides a clear and systematic development of the state-of-the-art in monetary and financial aggregation theory.
