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Titill:
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The representative household's demand for money in a cointegrated VAR modelThe representative household's demand for money in a cointegrated VAR model |
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Höfundur:
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Þórarinn Gunnar Pétursson 1966
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URI:
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http://hdl.handle.net/10802/4750
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Útgefandi:
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Central Bank of Iceland, Economics Department
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Útgáfa:
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01.2001 |
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Ritröð:
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Central Bank of Iceland., Working papers ; 12 |
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Efnisorð:
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Fjármál; Peningamál
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ISSN:
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1028-9445 |
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Tungumál:
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Enska
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Tengd vefsíðuslóð:
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http://www.sedlabanki.is/uploads/files/Wp12_a.pdf
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Tegund:
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Skýrsla |
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Gegnir ID:
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991001096339706886
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Athugasemdir:
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Sérpr. úr Econometrics Journal nr. 3, 2000
Myndefni: línurit, töflur |
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Útdráttur:
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A representative household model with liquidity services directly in the utility function is used to derive a stable, data congruent error correction model of broad money demand in Iceland. This model gives a linear, long-run relation between real money balances, output and the opportunity cost of holding money that is used to over-identify the cointegrating space. The over-identifying restrictions suggest that the representative household is equally averse to variations in consumption and real money holdings. Finally, a forward-looking interpretation of the short-run dynamics, assuming quadratic adjustment costs, cannot be rejected by the data. |
