The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform

Peter N Ireland - One of the best experts on this subject based on the ideXlab platform.

  • on the welfare cost of inflation and the recent behavior of Money Demand
    The American Economic Review, 2009
    Co-Authors: Peter N Ireland
    Abstract:

    Post-1980 U.S. data trace out a stable long-run Money Demand relationship of Cagan’s semi-log form between the M1-income ratio and the nominal interest rate, with an interest semi-elasticity of 1.79. Integrating under this Money Demand curve yields estimates of the welfare cost of modest departures from Friedman’s zero nominal interest rate rule for the optimum quantity of Money that are quite small. The results suggest that the Federal Reserve’s current policy, which generates low but still positive rates of inflation, provides an adequate approximation in welfare terms to the alternative of moving all the way to the Friedman rule. JEL: E31, E41, E52.

  • on the welfare cost of inflation and the recent behavior of Money Demand
    Social Science Research Network, 2008
    Co-Authors: Peter N Ireland
    Abstract:

    Post-1980 U.S. data trace out a stable long-run Money Demand relationship of Cagan's semi-log form between the M1-income ratio and the nominal interest rate, with an interest semi-elasticity below 2. Integrating under this Money Demand curve yields estimates of the welfare costs of modest departures from Friedman's zero nominal interest rate rule for the optimum quantity of Money that are quite small. The results suggest that the Federal Reserve's current policy, which generates low but still positive rates of inflation, provides an adequate approximation in welfare terms to the alternative of moving all the way to the Friedman rule.

  • on the welfare cost of inflation and the recent behavior of Money Demand
    Research Papers in Economics, 2007
    Co-Authors: Peter N Ireland
    Abstract:

    Post-1980 U.S. data trace out a stable long-run Money Demand relationship of Cagan's semi-log form between the M1-income ratio and the nominal interest rate, with an interest semi-elasticity of 1.79. Integrating under this Money Demand curve yields estimates of the welfare cost of modest departures from Friedman's zero nominal interest rate rule for the optimum quantity of Money that are quite small. The results suggest that the Federal Reserve's current policy, which generates low but still positive rates of inflation, provides an adequate approximation in welfare terms to the alternative of moving all the way to the Friedman rule.

Laurence Ball - One of the best experts on this subject based on the ideXlab platform.

  • short run Money Demand
    Journal of Monetary Economics, 2012
    Co-Authors: Laurence Ball
    Abstract:

    Abstract The conventional wisdom holds that the short-run Demand for Money is unstable. This paper challenges the conventional view by finding a stable Demand for M1 in U.S. data from 1959 through 1993. The approach follows previous work in interpreting long-run Money Demand as a cointegrating relation, and it uses Goldfeld's partial-adjustment model to interpret short-run dynamics. The key innovation is the choice of the interest rate in the Money Demand function. Most previous work uses a short-term market rate, but this paper uses the average return on “near monies”—the savings accounts and Money market mutual funds that are close substitutes for M1. This choice helps rationalize the behavior of Money Demand; in particular, the increase in the volatility of velocity after 1980 is explained by increased volatility in the returns on near monies.

  • short run Money Demand
    Research Papers in Economics, 2002
    Co-Authors: Laurence Ball
    Abstract:

    This paper estimates a long-run Demand function for M1, using U.S. data for 1959-1993. The paper interprets deviations from this long-run relation with Goldfeld=s partial adjustment model. A key innovation is the choice of the interest rate in the Money Demand function. Most previous work uses a short-term market rate, but this paper uses the average return on "near monies" -- close substitutes for M1 such as savings accounts and Money market mutual funds. This approach yields a predicted path of M1 velocity that closely matches the data. The volatility of velocity after 1980 is explained by volatility in the returns on near monies.

  • another look at long run Money Demand
    Journal of Monetary Economics, 2001
    Co-Authors: Laurence Ball
    Abstract:

    Abstract This paper investigates the long-run Demand for M1 in the postwar United States. Previous studies, based on data ending in the late 1980s, are inconclusive about the parameters of postwar Money Demand. This paper obtains precise estimates of these parameters by extending the data through 1996. The income elasticity of Money Demand is approximately 0.5, and the interest semi-elasticity is approximately −0.05. These parameters are significantly smaller in absolute value than the corresponding parameters for the prewar period. A caveat is that the analysis assumes there is no trend in Money Demand resulting from technological change.

  • another look at long run Money Demand
    Social Science Research Network, 1998
    Co-Authors: Laurence Ball
    Abstract:

    This paper investigates the long-run Demand for M1 in the postwar United States. Previous studies, based on data ending in the late 1980's, are inconclusive about the parameters of postwar Money Demand. This paper obtains precise estimates of these parameters by extending the data through 1996. The income elasticity of Money Demand is approximately 0.5, and the interest semi-elasticity is approximately -0.05. These parameters are significantly smaller in absolute value than the corresponding parameters for the prewar period.

Andreas Beyer - One of the best experts on this subject based on the ideXlab platform.

  • a stable model for euro area Money Demand revisiting the role of wealth
    Social Science Research Network, 2009
    Co-Authors: Andreas Beyer
    Abstract:

    In this paper we present an empirically stable Money Demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run Money Demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show that the current financial crisis has no impact on the stability of our Money Demand model.

  • a stable model for euro area Money Demand revisiting the role of wealth
    Research Papers in Economics, 2009
    Co-Authors: Andreas Beyer
    Abstract:

    In this paper we present an empirically stable Money Demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run Money Demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show that the current financial crisis has no impact on the stability of our Money Demand model. JEL Classification: C22, C32, E41

  • issues in Money Demand the case of europe
    Journal of Common Market Studies, 2004
    Co-Authors: Michael J Artis, Andreas Beyer
    Abstract:

    This article establishes a co-integration analysis for the euro area (sample period: 1983–2000), identifying three co-integrating vectors: one which can be labelled Money Demand (in which real M3 Money balances are related to output, with unit elasticity, and the long rate of interest); another pertaining to the spread between the short and long rate of interest; and a third which is an output (IS) relationship in which output is related to the real rate of interest. Currency substitution terms affect the adjustment of real Money balances though they do not enter the co-integration space. We use the aggregation procedure for historical Euroland data advocated by Beyer, Doornik and Hendry for application to aggregation of Money, GDP and prices when exchange rates were varying. We make use of the German short- and long-term interest rates as benchmarks for own rate and opportunity cost variables.

Vinod Mishra - One of the best experts on this subject based on the ideXlab platform.

  • estimating Money Demand functions for south asian countries
    Empirical Economics, 2009
    Co-Authors: Paresh Kumar Narayan, Seema Narayan, Vinod Mishra
    Abstract:

    In this paper, we estimate a Money Demand function for a panel of five South Asian countries. We find that the Money Demand and its determinants, namely real income, real exchange rate and short-term domestic and foreign interest rates are cointegrated both for individual countries as well as for the panel, and panel long-run elasticities provide robust evidence of statistically significant relationships between Money Demand and its determinants. Our test for panel Granger causality suggests short-run causality running from all variables, except foreign interest rate, to Money Demand, and we find evidence that except for Nepal Money Demand functions are stable.

  • estimating Money Demand functions for south asian countries
    Social Science Research Network, 2009
    Co-Authors: Paresh Kumar Narayan, Seema Narayan, Vinod Mishra
    Abstract:

    In this paper, we estimate a Money Demand function for a panel of five South Asian countries. We find that the Money Demand and its determinants, namely real income, real exchange rate and short-term domestic and foreign interest rates are cointegrated both for individual countries as well as for the panel, and panel long-run elasticities provide robust evidence of statistically significant relationships between Money Demand and its determinants. Our test for panel Granger causality suggests short-run causality running from all variables, except foreign interest rate, to Money Demand, and we find evidence that except for Nepal Money Demand functions are stable Asian countries

Barbara Roffia - One of the best experts on this subject based on the ideXlab platform.

  • euro area Money Demand and international portfolio allocation a contribution to assessing risks to price stability
    Research Papers in Economics, 2012
    Co-Authors: Roberto A De Santis, Carlo A Favero, Barbara Roffia
    Abstract:

    This paper argues that a stable broad Money Demand for the euro area over the period 1980-2011 can be obtained by modelling cross border international portfolio allocation. As a consequence, model-based excess liquidity measures, namely the difference between actual M3 growth (net of the inflation objective) and the expected Money Demand trend dynamics, can be useful to predict HICP inflation. Keywords: Euro area Money Demand, inflation forecasts, monetary policy, portfolio allocation JEL classification: E41, E44, E52, G11, G15

  • euro area Money Demand and international portfolio allocation a contribution to assessing risks to price stability
    Social Science Research Network, 2008
    Co-Authors: Roberto A De Santis, Carlo A Favero, Barbara Roffia
    Abstract:

    The long-run relationship between Money and prices in the euro area embedded in traditional Money Demand models with income and interest rates broke down after 2001. We develop a Money Demand model where investors hold a diversified portfolio with Money, domestic and foreign stocks and long-term bonds in which, in addition to the classical wealth effect, also a size and an international portfolio allocation effects arise. The estimated model identifies three cointegrating vectors stable over the sample 1980-2007: a long-run Money Demand, which depends on income and all risky assets' returns, and two equilibria for the euro area and the US financial markets. Steady state equilibrium of nominal M3 growth is estimated to be about 7% in 2007 with large standard errors mainly due to uncertainty in asset prices. The gap between actual euro area M3 growth and model-based fitted or predicted values helps forecast euro area inflation.

  • long run Money Demand in the new eu member states with exchange rate effects
    Eastern European Economics, 2007
    Co-Authors: Christian Dreger, Hanseggert Reimers, Barbara Roffia
    Abstract:

    Within a wide range of other economic and financial indicators, Money is highly relevant to the two-pillar monetary strategy of the European Central Bank for detecting risks to price stability over the medium term. Money Demand models are a natural benchmark for assessing monetary developments. The existence of a well-specified and stable relation between Money and prices can be perceived as a prerequisite for using monetary aggregates in the conduct of monetary policy, which is usually assessed within a Money-Demand framework. In this respect, the present analysis is important for the new member states of the European Union, as they are expected to join the euro area in future years. In this study, a Money-Demand analysis in the new member states is conducted using panel cointegration methods. A well-behaved long-run Money Demand relation can be identified only if the exchange rate is included as part of the opportunity cost. In the long-run cointegrating vector, income elasticity exceeds unity. Over the...

  • long run Money Demand in the new eu member states with exchange rate effects
    Social Science Research Network, 2006
    Co-Authors: Christian Dreger, Hanseggert Reimers, Barbara Roffia
    Abstract:

    Generally speaking, Money Demand models represent a natural benchmark against which monetary developments can be assessed. In particular, the existence of a well-specified and stable relationship between Money and prices can be perceived as a prerequisite for the use of monetary aggregates in the conduct of monetary policy. In this study a Money Demand analysis in the new Member States of the European Union (EU) is conducted using panel cointegration methods. A well-behaved long-run Money Demand relationship can be identified only if the exchange rate as part of the opportunity cost is included. In the long-run cointegrating vector the income elasticity exceeds unity. Moreover, over the whole sample period the exchange rates vis-a-vis the US dollar turn out to be significant and a more appropriate variable in the Money Demand than the euro exchange rate. The present analysis is of importance for the new EU Member States as they are expected to join in the future years the euro area, where Money is deemed to be highly relevant - within the two-pillar monetary strategy of the European Central Bank (ECB) - in order to detect risks to price stability over the medium term.

  • long run Money Demand in the new eu member states with exchange rate effects
    Research Papers in Economics, 2006
    Co-Authors: Christian Dreger, Hanseggert Reimers, Barbara Roffia
    Abstract:

    Generally speaking, Money Demand models represent a natural benchmark against which monetary developments can be assessed. In particular, the existence of a well-specified and stable relationship between Money and prices can be perceived as a prerequisite for the use of monetary aggregates in the conduct of monetary policy. In this study a Money Demand analysis in the new Member States of the European Union (EU) is conducted using panel cointegration methods. A well-behaved long run Money Demand relationship can be identified only if the exchange rate as part of the opportunity cost is included. In the long-run cointegrating vector the income elasticity exceeds unity. Moreover, over the whole sample period the exchange rates vis-a-vis the US dollar turn out to be significant and a more appropriate variable in the Money Demand than the euro exchange rate. The present analysis is of importance for the new EU Member States as they are expected to join in the future years the euro area, where Money is deemed to be highly relevant - within the two-pillar monetary strategy of the European Central Bank (ECB) - in order to detect risks to price stability over the medium term. JEL Classification: C23, E41, E52