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Money demand, structural drift, and ...

Stern, Liliana V.,

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Money demand, structural drift, and equity returns /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Money demand, structural drift, and equity returns // Liliana V Stern.
Author:	Stern, Liliana V.,
Description:	1 electronic resource (149 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 68-03, Section: A.
Contained By:	Dissertations Abstracts International68-03A.
Subject:	Studies. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3215191
ISBN:	9780542653544

Money demand, structural drift, and equity returns /
Stern, Liliana V.,

Money demand, structural drift, and equity returns /Liliana V Stern. - 1 electronic resource (149 pages)

Source: Dissertations Abstracts International, Volume: 68-03, Section: A.

Recent evidence that the stock of money may transmit monetary policy into the real economy, independently of short-term interest rates, has resulted in an increased focus on monetary aggregates and money demand. I take a portfolio approach to money demand and estimate the demand for money with two opportunity cost measures---traditional bond returns and expected equity returns. Expected equity returns are found to be important determinants of money demand in the long run. The effects of bond returns on the long-run money demand have become increasingly insignificant in the last decade and a half. I solve the 'puzzle' of bond return insignificance by explicitly allowing for structural change. Once expected equity returns and structural drifts are formally included in the specification of money demand, the interest elasticity with respect to bond return is negative and statistically significant. The elasticity of money demand with respect to expected equity returns has a significant positive drift and has become positive recently. The consumption elasticity has a strong negative drift and may be a source of the observed money demand instability. A conventional specification of money demand cannot accommodate either multiple returns or a positive elasticity of money demand with respect to equity returns. I first show that the inclusion of heterogeneous agents or assuming uncertain asset returns allow multiple asset returns to enter the money demand equation. Then I develop a simple theory, based around the idea that multiple assets may provide liquidity services, and show that it can support both positive and negative elasticities with respect to equity returns.

English

ISBN: 9780542653544Subjects--Topical Terms:

3433795
Studies.
Subjects--Index Terms:

Equity returns

Money demand, structural drift, and equity returns /
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100 1 $a Stern, Liliana V., $e author. $3 3829326
245 1 0 $a Money demand, structural drift, and equity returns / $c Liliana V Stern.
264 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2006
300 $a 1 electronic resource (149 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertations Abstracts International, Volume: 68-03, Section: A.
500 $a Publisher info.: Dissertation/Thesis.
500 $a Advisors: Leeper, Eric M.
502 $b Ph.D. $c Indiana University $d 2006.
520 $a Recent evidence that the stock of money may transmit monetary policy into the real economy, independently of short-term interest rates, has resulted in an increased focus on monetary aggregates and money demand. I take a portfolio approach to money demand and estimate the demand for money with two opportunity cost measures---traditional bond returns and expected equity returns. Expected equity returns are found to be important determinants of money demand in the long run. The effects of bond returns on the long-run money demand have become increasingly insignificant in the last decade and a half. I solve the 'puzzle' of bond return insignificance by explicitly allowing for structural change. Once expected equity returns and structural drifts are formally included in the specification of money demand, the interest elasticity with respect to bond return is negative and statistically significant. The elasticity of money demand with respect to expected equity returns has a significant positive drift and has become positive recently. The consumption elasticity has a strong negative drift and may be a source of the observed money demand instability. A conventional specification of money demand cannot accommodate either multiple returns or a positive elasticity of money demand with respect to equity returns. I first show that the inclusion of heterogeneous agents or assuming uncertain asset returns allow multiple asset returns to enter the money demand equation. Then I develop a simple theory, based around the idea that multiple assets may provide liquidity services, and show that it can support both positive and negative elasticities with respect to equity returns.
546 $a English
590 $a School code: 0093
650 4 $a Studies. $3 3433795
650 4 $a Research. $3 531893
650 4 $a Variables. $3 3548259
653 $a Equity returns
653 $a Interest rate elasticity
653 $a Money demand
653 $a Structural drift
690 $a 0501
710 2 $a Indiana University. $e degree granting institution. $3 3765857
720 1 $a Leeper, Eric M. $e degree supervisor.
773 0 $t Dissertations Abstracts International $g 68-03A.
790 $a 0093
791 $a Ph.D.
792 $a 2006
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3215191