International evidence on long-run money demand

• 成果类型: Article
• 署名作者: Benati, Luca; Lucas, Robert E.; Pablo Nicolini, Juan; Weber, Warren
• 署名单位: University of Bern; University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Universidad Torcuato Di Tella; University of South Carolina System; University of South Carolina Columbia; Bank of Canada; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.07.003
• 发表日期: 2021
• 关键词: Long-run money demand; cointegration

摘要

A dataset comprising 38 countries and relatively long sample periods, which extend in some cases to over a century, is used to study the behavior of long-run demand for M1. For a large majority of the countries, the evidence supports the existence of a stable long-run relationship between the ratio of M1 to GDP and a short-term interest rate. The log-log specification provides a good characterization of the data, with the exception of periods featuring very low interest rates. An extension of the theory that imposes limits on the amount households can borrow results in a truncated log-log specification, which is in line with what we observe in the data. We estimate the interest rate elasticity to be between 0.3 and 0.6. (C) 2020 Elsevier B.V. All rights reserved.