The demand for money at the zero interest rate bound

被引：0

作者：

Watanabe, Tsutomu ^{[1
]}

Yabu, Tomoyoshi ^{[2
]}

机构：

[1] Univ Tokyo, Grad Sch Econ, Tokyo, Japan

[2] Keio Univ, Fac Business & Commerce, Tokyo, Japan

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2023年 / 38卷 / 06期

关键词：

cointegration; log-log form; money demand function; semi-log form; welfare cost of inflation; zero lower bound; RESIDUAL-BASED TESTS; WELFARE COST; TIME-SERIES; UNIT-ROOT; COINTEGRATION; INFLATION; HETEROSKEDASTICITY;

D O I：

10.1002/jae.2983

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper undertakes both a narrow and wide replication of the estimation of a money demand function conducted by Ireland (American Economic Review, 2009). Using US data from 1980 to 2013, we show that the substantial increase in the money-income ratio during the period of near-zero interest rates is captured well by the log-log specification but not by the semi-log specification, contrary to the result obtained by Ireland (2009). Our estimate of the interest elasticity of money demand over the 1980-2013 period is about one-tenth that of Lucas's paper published in 2000, which used a log-log specification. Finally, neither specification satisfactorily fits post-2015 US data.

引用

页码：968 / 976

页数：9