Money demand heterogeneity and the great moderation |
| |
Authors: | Pablo A Guerron-Quintana |
| |
Institution: | Department of Economics, North Carolina State University, Raleigh, NC 27605, USA |
| |
Abstract: | A forward-looking model of the demand for money based on heterogeneous and sluggish-portfolio adjustment can simultaneously account for the low short-run and high long-run semi-elasticities reported in the literature. The parameter estimates from the model for the short-run and long-run interest semi-elasticities are 1.04 and 13.16, respectively. A simulated version of the model suggests that the Great Moderation can be partially attributed to financial innovations in the late 1970s. When moving toward a more flexible portfolio, the model can account for almost one-third of the observed decline in the volatilities of output, consumption, and investment. |
| |
Keywords: | E41 E47 |
本文献已被 ScienceDirect 等数据库收录! |
|