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U.S. money demand instability A flexible least squares approach
4 references·10 citing·42 second hop
U.S. money demand instability A flexible least squares approach (1990)U.S. money demand instability A flexible …Money Demand Predictability (1985)Money Demand PredictabilityIdentification and Estimation of Money Demand (1981)Identification and Estimation…The Case of the Missing Money (1976)The Case of the Missing MoneyThe Demand for Money Revisited (1973)The Demand for Money RevisitedTime-varying money demand and real balance effects (2019)Time-varying money demand and…A TIME-VARYING APPROACH OF THE US WELFARE COST OF INFLATION (2017)A TIME-VARYING APPROACH OF TH…The "distance-varying" gravity model in international economics: is the distance an obstacle to trade? (2009)The "distance-varying" gravit…Time-Varying Betas of German Stock Returns (2005)Time-Varying Betas of German …Interest Rate Sensitivities of REIT Returns (2003)Interest Rate Sensitivities o…Time variation paths of international transmission of stock volatility — US vs. Hong Kong and South Korea (2001)Time variation paths of inter…Variable betas on the Stockholm exchange 1971-1989 (1994)Variable betas on the Stockho…The Sources of the U.S. Money Demand Instability (1994)The Sources of the U.S. Money…The sources of the U.S. money demand instability (1993)The sources of the U.S. money…INSTABILITY OF THE U.S. MONEY DEMAND FUNCTION (1991)INSTABILITY OF THE U.S. MONEY…The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)Risk and Return on Real Estate: Evidence from Equity REITs (1990)What Does the Stock Market Tell Us About Real Estate Returns? (1992)REITs and the financial crisis: Empirical evidence from the U.S. (2009)The impact of macroeconomic factors on the real estate investment trust index return on Japan, Singapore and China (2016)Low‐frequency volatility of real estate securities and macroeconomic risk (2017)Expectations and the neutrality of money (1972)Macroeconomics and Reality (1980)In search of the liquidity effect (1992)Are regional trading arrangements trade creating? (2003)The GDP-Temperature relationship: Implications for climate change damages (2021)ON THE ASSESSMENT OF RISK (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Time varying country risk: an assessment of alternative modelling techniques (2002)Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time‐varying beta (2008)Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil (2012)Journal of Economic Dynamics and Control (2013)The Search for a Stable Money Demand Function: A Survey Of the Post-1973 Literature (1982)Introduction to Multiple Time Series Analysis (1993)Asset management and investment banking (2013)Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional market beta for REITs: A comparison of modeling techniques (2012)The Transactions Demand for Cash: An Inventory Theoretic Approach (1952)The Interest-Elasticity of Transactions Demand For Cash (1956)The monetary dynamics of hyperinflation (1956)Chapter 22 Targets and instruments of monetary policy (1990)Financial Innovation and Money Demand: Application to Chile and Mexico (1993)Towards a new research programme on ‘banking and the economy’ — Implications of the Quantity Theory of Credit for the prevention and resolution of banking and debt crises (2012)Transmission of Volatility Between Stock Markets (1989)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Volatility of stock returns: emerging and mature markets (2005)Stock market liberalization, structural breaks and dynamic changes in emerging market volatility (2008)Integration at a cost: evidence from volatility impulse response functions (2009)The Econometric Analysis of Economic Time Series (1983)Modeling the demand for narrow money in the United Kingdom and the United States (1991)Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (2000)Money demand in the United States: A quantitative review (1988)Monetary Theory and Policy, 2nd Edition (2003)
this work references cited by second hop

References

  • 1973The Demand for Money Revisited712 cited
  • 1976The Case of the Missing Money567 cited
  • 1981Identification and Estimation of Money Demand268 cited
  • 1985Money Demand Predictability71 cited

Cited by

  • 1994Variable betas on the Stockholm exchange 1971-198985 cited
  • 2003Interest Rate Sensitivities of REIT Returns61 cited
  • 2005Time-Varying Betas of German Stock Returns38 cited
  • 2001Time variation paths of international transmission of stock volatility — US vs. Hong Kong and South Korea31 cited
  • 1993The sources of the U.S. money demand instability30 cited
  • 1994The Sources of the U.S. Money Demand Instability28 cited
  • 2019Time-varying money demand and real balance effects22 cited
  • 2017A TIME-VARYING APPROACH OF THE US WELFARE COST OF INFLATION21 cited
  • 2009The "distance-varying" gravity model in international economics: is the distance an obstacle to trade?19 cited
  • 1991INSTABILITY OF THE U.S. MONEY DEMAND FUNCTION15 cited

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