The variability of velocity of money in a search model

• 成果类型: Article
• 署名作者: Wang, Weimin; Shi, Shouyong
• 署名单位: University of Toronto
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.01.005
• 发表日期: 2006
• 页码: 537-571
• 关键词: velocity; search; inflation; inventory; propagation

摘要

We construct a dynamic equilibrium model where there is costly search in the goods market and the labor market. Incorporating shocks to money growth and productivity, we calibrate the model to the US time series data to examine the model's quantitative predictions on aggregate variables and, in particular, on the variability of consumption velocity of money. Despite the fact that money is the only asset, the model captures most of the variability of velocity in the data. It also generates realistic predictions on the moments of other variables and provides persistent propagation of the shocks. The model generates these results largely because costly search gives an important role to the extensive margin of trade. Crown Copyright (c) 2006 Published by Elsevier B.V. All rights reserved.