Money-Demand Variability: A Demand-Systems Approach

Douglas Fisher

28 citations0/0 files storedJournal of Business and Economic Statistics

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Monetary Policy and Economic Impact Economic Theory and Policy Economic theories and models

Abstract

This article tests the Fourier flexible form on quarterly U.S. monetary data. The data have been prescreened for consistency with the general axiom of revealed preference, and subindexes are formed using the Divisia approach. In this article, the global Fourier model fits well, although there is a potential problem of overfitting and certain data points exhibit behavior inconsistent with the model. The elasticities are variable over time, particularly around business-cycle troughs. It appears that financial asset demand surfaces are highly nonlinear and the many unsuccessful existing attempts to estimate money demand may not have worked well for this reason.

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References

1982The Nonparametric Approach to Demand Analysis 1981On the bias in flexible functional forms and an essentially unbiased form 1983Non-Parametric Tests of Consumer Behaviour 1982The Search for a Stable Money Demand Function: A Survey Of the Post-1973 Literature 1978The user cost of money 1974Intertemporal Consumer Theory and the Demand for Durables 1987Nonparametric Tests of Utility Maximization and Weak Separability for Consumption, Leisure and Money 1969On Measuring the Nearness of the Near-Moneys

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