Money demand heterogeneity and the great moderation

• 成果类型: Article
• 署名作者: Guerron-Quintana, Pablo A.
• 署名单位: North Carolina State University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.11.003
• 发表日期: 2009
• 页码: 255-266
• 关键词: Financial innovation; Great Moderation; gmm; Money demand; Sluggish-portfolio adjustment; Monetary and technology shocks

摘要

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. (C) 2008 Elsevier B.V. All rights reserved.