Bequest motives and household money demand

The bequest motive is an important motive determining intergenerational transfers of income, saving, and money. However, it has received little or no attention from past studies on money demand. This study utilizes panel data to show that the bequest motive is positively related to money demand and interacts with the life-cycle motive during various stages of an individual’s life. Householders with bequest motives are more likely to transfer a greater proportion of their permanent incomes to monetary assets than those without bequest motives.     

The stability of money demand in China: Evidence from the ARDL model

This study examines the demand for broad money (M2) in China using the autoregressive distributed lag (ARDL) cointegration framework. The results based on the bounds testing procedure confirm that a stable, long-run relationship exists between M2 and its determinants: real income, inflation, foreign interest rates and stock prices. Importantly, our results reveal that stock prices have a significant wealth effect on long- and short-run broad money demand; its omission can lead to serious misspecifications in the money demand function (MDF). This finding is consistent with the notion that asset inflation (deflation) has systematic influence on the pattern of monetary aggregates.     

Investigating stability and linearity of a German M1 money demand function

Starting from a linear error correction model (ECM) the stability and linearity of a German M1 money demand function are investigated, applying smooth transition regression techniques. Using seasonally unadjusted quarterly data from 1961(1) to 1990(2) it is found that the money demand equation considered is both linear and stable. After extending the sampling period until 1995(4) a clear structural instability due to the monetary unification on 1 July 1990 is found and subsequently modelled. A non-linear specification for the extended period is presented and discussed. Copyright © 1999 John Wiley & Sons, Ltd.     

Bayesian inference in a time varying cointegration model

There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper, we develop a new time varying parameter model which permits cointegration. We use a specification which allows for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP–VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving the Fisher effect.     

A model of fractional cointegration, and tests for cointegration using the bootstrap

The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to simulate the null hypothesis of non-cointegration in a vector autoregressive modelling framework. The simulations are used to estimate p-values for alternative regression-based test statistics, including the F goodness-of-fit statistic, the Durbin–Watson statistic and estimates of the residual d. The bootstrap distributions are economical to compute, being conditioned on the actual sample values of all but the dependent variable in the regression. The procedures are easily adapted to test stronger null hypotheses, such as statistical independence. The tests are not in general asymptotically pivotal, but implemented by the bootstrap, are shown to be consistent against alternatives with both stationary and nonstationary cointegrating residuals. As an example, the tests are applied to the series for UK consumption and disposable income. The power properties of the tests are studied by simulations of artificial cointegrating relationships based on the sample data. The F test performs better in these experiments than the residual-based tests, although the Durbin–Watson in turn dominates the test based on the residual d.     

Multiple and pairwise non-nested tests of the influence of taxes on money demand

The minimal computational requirements of the linear embedding techniques initiated by Davidson and MacKinnon (1981) accommodate multiple and binary tests of autoregressive, non-nested regression models with different dependent variables. The small sample adjustments of Fisher and McAleer (1981) effectively reduce the size of the P-tests for our models. Our application to transactions demand for money models supports the Holmes and Smyth (1972) hypothesis that pre-tax variables are preferred to GNP in M1 money equations.     

Money growth and interest rate volatility and the demand for money

In this paper the author empirically examines the effects of both money growth and interest rate volatility measures upon the demand for real balances. The findings of this study suggest that both money growth and interest rate volatility measures are statistically insignificant. However, evidence suggests a structural shift in the demand for money in the post-1979 period. Moreover, there is a noticeable change in the speed of adjustment moving from actual to desired real balances with the adjustment coefficient in the post-1979 period increasing roughly in magnitude nine and half, times the adjustment coefficient in the pre-1979 period.     

季节性独立需求存货的订货方法研究——某轮船公司存货订货的实证分析

介绍了季节性独立需求存货的定义,EOQ模型对季节性独立需求存货的使用分析。通过对某轮船公司存货管理实例研究,说明如何运用科学的订货方法来降低企业的存货成本,并得出一些启示。     

Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA

This paper analyses risk-integration and the degree of dependence between the Values-at-Risk (VaRs) estimates for the two major pharmaceutical stock markets in the world: USA and China. To do this, we study the dependence and fractional cointegration properties among risks. Using daily returns for an eleven-year period, we estimated the VaRs obtained for pharmaceutical market portfolios in China (Shanghai) and the USA (NYSE) using the market model and considering both long and short trading positions. We conclude that the Shanghai pharmaceutical market is riskier than NYSE, although is predictable and losses in both markets exhibit tail dependence between VaR estimates. Particularly, there is lower tail VaR dependence for long position and upper tail dependence for short positions, both being small and fairly constant. On the other hand, we have not found fractional cointegration between risks, suggesting that China’s pharmaceutical sector is not integrated into the global pharmaceutical market.     

Exchange rate volatility and demand for money in less developed countries

One implication of currency substitution is that the exchange rate could serve as another determinant of the demand for money. Indeed, many studies have justified this empirically for the majority of countries. If the exchange rate serves as a determinant of the demand for money, exchange rate volatility could also influence money demand. By using annual data from 15 less developed countries and the bounds testing approach, we show that exchange rate volatility has short-run effects on the demand for real M2 monetary aggregate in LDCs. However, in most countries, short-run effects are not sustained.     

Money stock targeting and money supply: A closer examination of the data

In a recent paper Mercenier and Sekkat (1988) use a linear-quadratic model to examine the willingness of a monetary authority in a small open economy to target its exchange rate. Based on their empirical results, the authors conclude that the Bank of Canada has displayed a willingness to use the money supply to target the Canada—US exchange rate. We re-examine their empirical results using a different estimation approach and with different assumptions about the forcing process of the exogeneous variables. We also extend the sample period to include more recent observations. While we find some weak evidence to support their conclusion, the results, in general, suggest that a linear-quadratic model may not be a particularly useful representation of the assumed exchange rate targeting by a monetary authority.     

我国货币政策的股票市场传导机制实证分析

本文取2000年1月至2008年2月的历史数据,采用ADF单位根检验、Johansen协整检验以及Granger 检验等实证方法探讨我国股票市场的货币政策传导效率如何.     

Causality and the independence phenomenon: The case of the demand for money

We examine the demand for money using causality results with data from two alternative policy regimes. For Spanish series of money and prices we obtain the same result of independence that Feige and others found with U.S. data. The result of the test for the German hyperinflation period reveals bidirectional causality. It is shown that the somehow striking results of widespread independence among economic time series do not disprove but rather confirm the existence of a true underlying causal relationship. Causality results, and independence in particular, give us testable restriction for the structural form. In the case of models for expectations in the rate of inflation, these restrictions allow us to revalidate the stability of the demand for money as postulated by the Quantity Theory.     

Measuring the costs of height restrictions with a general equilibrium model

This paper investigates the costs of residential height restrictions, using a numerically solvable general equilibrium model which is based on residential location theory and which has several novel features. The time and money costs of travel are treated separately, households demand recreational land as well as structure and, most importantly, actual construction cost data are used in an activity analysis formulation of the supply side of the housing market. There are two major conclusions. First, households' demand for recreational land is significant; ignoring it results in simulated cities considerably smaller and denser than is observed. Secondly, residential height restrictions merit serious consideration since their costs appear to be quite modest.     

Reexamining the term structure of interest rates and the interwar demand for money

This paper reexamines whether the term structure of interest rates, rather than merely a single interest rate, should be included in the demand for money of the interwar era. In contrast to earlier work, we use cointegration techniques to model the equilibrium/error correction process, and find that a sufficiently rich dynamic model using a single interest rate has considerable explanatory power. Nevertheless, we conclude that the inclusion of the term structure may help to explain the turbulent monetary dynamics of the Depression era.     

A simultaneous equations system of money demand and supply using generalized functional forms

The Box-Cox parametric transformation was incorporated into a simultaneous money demand and supply equations systems, where the demand function had a liquidity trap. Full-Information Maximum-Likelihood parameter estimates of the ‘generalized’ system, as compared to FIML estimates from an equations system where the functional forms were a priori restricted, revealed the ‘generalized functional form’ model had superior forecasting ability, smaller impact multipliers on discretionary policy instruments, and different elasticity estimates. A likelihood ratio test between the ‘generalized’ and a priori restricted models indicated the generalized model was significantly different from the closest ‘linear in the parameters’ model.     

A Hotelling model with a ceiling on the stock of pollution

Environmental agreements such as the Kyoto Protocol aim to stabilize the amount of carbon in the atmosphere, which is mainly caused by the burning of nonrenewable resources such as coal. We characterize the solution to the textbook Hotelling model when there is a ceiling on the stock of emissions. We consider both increasing and decreasing demand for energy. We show that when the ceiling is binding, both the low-cost nonrenewable resource and the high-cost renewable resource may be used jointly. A key implication is that if energy demand were to decline in the long run, we may supplement energy supply through ‘clean’ renewables to meet the environmental standard, but then revert back to using only ‘dirty’ fossil fuels in the future when the ceiling has become non-binding. That is, the much heralded societal ‘transition’ to clean energy resources may be short-lived.     

Partial knowledge restrictions on the two-stage threshold model of choice

In the context of the two-stage threshold model of decision making, with the agent’s choices determined by the interaction of three “structural variables,” we study the restrictions on behavior that arise when one or more variables are exogenously known. Our results supply necessary and sufficient conditions for consistency with the model for all possible states of partial knowledge, and for both single- and multi-valued choice functions.     

The impact of foreign variables on domestic money demand: Evidence from the United Kingdom

This paper contributes to the existing money demand literature by developing and estimating a shopping-time model in an open economy framework. Based on this microfoundations-of-money model, United Kingdom quarterly data for the period 1973:2–1997:2 are analyzed in the empirical study. After accounting for nonstationarity in the time series processes, I find three long-run relationships among the relevant variables. Estimation of the error-correction representation implied by the model shows that the foreign exchange rates and the imports consumption, in addition to the domestic variables, have significant effects on British demand for real money. I am grateful to Kenneth D. West, Donald D. Hester, James M. Johannes, Hung-Neng Lai, two anonymous referees, and seminar participants at the University of Alabama and the University of Wisconsin for helpful comments. I also thank the Chiang Ching-Kuo Foundation for its financial support. Naturally, all remaining errors are mine.