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Money demand in the euro area: New insights from disaggregated data
 MPRA Paper
, 2009
"... Conventional money demand speci¯cations in the euro area have become unstable since 2001. We show that the income elasticity as well as the interest rate semielasticity actually remain stable, the corresponding deep parameters of the utility function have not changed. This suggests to closely monit ..."
Abstract

Cited by 9 (3 self)
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Conventional money demand speci¯cations in the euro area have become unstable since 2001. We show that the income elasticity as well as the interest rate semielasticity actually remain stable, the corresponding deep parameters of the utility function have not changed. This suggests to closely monitor monetary developments as they cannot easily be explained by changing preferences for holding money but might actually be a sign of imbalances. Our money demand equation is speci¯ed in deviations of individual euro area Member States variables from the euro area average.
M3 money demand and excess liquidity in the Euro Area
 Public Choice
, 2010
"... views of the institute. ..."
An Actuarial Approach To ShortRun Monetary Equilibrium §
, 2007
"... The extent to which the money supply affects the aggregate cash balance demanded at a certain level of nominal income and interest rates is determined by the interestrateelasticity and stability of the money demand. An actuarial approach is adopted in this paper for dealing with investors confronti ..."
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Cited by 1 (1 self)
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The extent to which the money supply affects the aggregate cash balance demanded at a certain level of nominal income and interest rates is determined by the interestrateelasticity and stability of the money demand. An actuarial approach is adopted in this paper for dealing with investors confronting liquidity constraints and maintaining different expectations about risks. Under such circumstances, a level of surplus exists which maximises expected value. Moreover, when the distorted probability principle is introduced, the optimal liquidity demand is expressed as a Value at Risk and the comonotonic dependence structure determines the amount of money demanded by the economy. As a consequence, the more unstable the economy, the greater the interestrateelasticity of the money demand. Moreover, for different parametric characterisation of risks, market parameters are expressed as the weighted average of sectorial or individual estimations, in such a way that multiple equilibria of the economy are allowed.
SOME ISSUES CONCERNING THE USE OF M3 FOR MONETARY POLICY ANALYSIS IN THE EURO AREA*
"... The broad monetary aggregate M3 is the aggregate used as a reference to assess monetary developments in the euro area. In order for this aggregate to be a useful device to assess medium to longterm risks to price stability two conditions must be satisfied. First, a stable longrun relationship bet ..."
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Cited by 1 (1 self)
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The broad monetary aggregate M3 is the aggregate used as a reference to assess monetary developments in the euro area. In order for this aggregate to be a useful device to assess medium to longterm risks to price stability two conditions must be satisfied. First, a stable longrun relationship between M3 and its determinants must exist and second, M3 must be a leading indicator of inflation.
Liquidity Preference as Rational Behaviour under Uncertainty
, 2006
"... An important concern of macroeconomic analysis is to what extent monetary policy affects the cash balance demanded at a certain level of nominal income and interest rates. Actually, the effectiveness of monetary policy depends on the interestrateelasticity of the liquidity demand, being useless un ..."
Abstract

Cited by 1 (1 self)
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An important concern of macroeconomic analysis is to what extent monetary policy affects the cash balance demanded at a certain level of nominal income and interest rates. Actually, the effectiveness of monetary policy depends on the interestrateelasticity of the liquidity demand, being useless under absolute liquidity preference, i.e. when the money demand is perfectly elastic. An actuarial approach is adopted in this paper for dealing with random income. Assuming investors confront liquidity constraints, a level of surplus exists which maximises expected value. Moreover, the optimal liquidity demand is expressed as a Value at Risk, and the comonotonic dependence structure determines the amount of money demanded by the economy. As a consequence, the interestrateelasticity depends on the kind of risks and expectations. The more volatile (unstable) the economy, the greater the interestrateelasticity of the money demand. Moreover, part of the adjustment to reestablish the shortrun monetary equilibrium might be performed through volatility shocks.
Monetary Equilibrium §
, 2007
"... The extent to which the money supply affects the aggregate cash balance demanded at a certain level of nominal income and interest rates is determined by the interestrateelasticity and stability of the money demand. An actuarial approach is adopted in this paper for dealing with investors facing li ..."
Abstract
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The extent to which the money supply affects the aggregate cash balance demanded at a certain level of nominal income and interest rates is determined by the interestrateelasticity and stability of the money demand. An actuarial approach is adopted in this paper for dealing with investors facing liquidity constraints and maintaining different expectations about risks. Under such circumstances, a level of surplus exists which maximises expected value. Moreover, when the distorted probability principle is introduced, the optimal liquidity demand is expressed as a Value at Risk and the comonotonic dependence structure determines the amount of money demanded by the economy. As a consequence, the more unstable the economy, the greater the interestrateelasticity of the money demand. Moreover, for different parametric characterisation of risks, market parameters are expressed as the weighted average of sectorial or individual estimations, in such a way that multiple equilibria of the economy are possible.
Behaviour under Uncertainty §
, 2006
"... An important concern of macroeconomic analysis is how interest rates affect the cash balance demanded at a certain level of nominal income. In fact, the interestrateelasticity of the liquidity demand determines the effectiveness of monetary policy, which is useless under absolute liquidity preferen ..."
Abstract
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An important concern of macroeconomic analysis is how interest rates affect the cash balance demanded at a certain level of nominal income. In fact, the interestrateelasticity of the liquidity demand determines the effectiveness of monetary policy, which is useless under absolute liquidity preference, i.e. when the money demand is perfectly elastic. An actuarial approach is developed in this paper for dealing with random income. Assuming investors face liquidity constraints, a level of surplus exists which maximises expected value. Moreover, the optimal liquidity demand is expressed as a Value at Risk and the comonotonic dependence structure determines the amount of money demanded by the economy. As a consequence, the interestrateelasticity depends on the kind of risks and expectations. The more unstable the economy, the greater the interestrateelasticity of the money demand. Moreover, part of the adjustment to reestablish the shortrun monetary equilibrium may be performed through volatility shocks.
Output and Limited Access to Debt
, 2007
"... The moneydemand of the economy is characterised, when national output is random and investors cannot attract any level of debt at any moment without incurring in additional costs. The optimal cash balance is then expressed as the probabilityquantile (or ValueatRisk) of the series of capital retu ..."
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The moneydemand of the economy is characterised, when national output is random and investors cannot attract any level of debt at any moment without incurring in additional costs. The optimal cash balance is then expressed as the probabilityquantile (or ValueatRisk) of the series of capital returns on income, and in this way, it is explicitly determined by risk. As a consequence, the interestrateelasticity depends on the kind of risks and expectations, in such a way that the more unstable the economy, the greater the interestrateelasticity of the moneydemand. Therefore, the effectiveness of monetary policy is increased by diminishing the variability of output. Moreover, since flows of capital can affect the riskiness of financial securities by modifying the amounts involved in transactions, part of the adjustment to reestablish the shortrun monetary equilibrium can be performed through volatility shocks. Finally, for different parametrisations of risks, aggregated parameters are expressed as the weighted average of sectorial estimations, so that multiple equilibria of the economy are allowed.