Precautionary money demand in a business-cycle model

• 成果类型: Article
• 署名作者: Telyukova, Irina A.; Visschers, Ludo
• 署名单位: University of California System; University of California San Diego; Universidad Carlos III de Madrid; University of Edinburgh
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.08.006
• 发表日期: 2013
• 页码: 900-916
• 关键词: Precautionary money demand; Velocity of money; business cycle; idiosyncratic risk

摘要

Precautionary demand for money is significant in the data, and may have important implications for business-cycle dynamics of velocity and other nominal aggregates. Accounting for such dynamics is a standing challenge in monetary macroeconomics: standard business-cycle models that have incorporated money have failed to generate realistic predictions in this regard. In those models, the only uncertainty affecting money demand is aggregate. We investigate a model with uninsurable idiosyncratic uncertainty about liquidity need. The resulting precautionary motive for holding money produces substantial improvements in accounting for business-cycle behavior of nominal variables, at no cost to real variables. (C) 2013 Elsevier B.V. All rights reserved.