Structural Change in the Demand for Money
AbstractA two-stage nonparametric and parametric approach to identifying structural change in the underlying utility function for monetary assets proves useful in exploring the existence, timing, direction, and extent of structural breaks over the 1969-85 period. Divisia monetary aggregates were constructed after applying the generalized axiom of revealed preference to identify least violation subutility functions. The nonparametric procedure shows utility function inconsistencies in 1975.IV and 1982.III. A translog utility function with structural change represented by time-varying multiplicative parameters was developed and estimated. The results show that the breaks were statistically significant and measure the impacts on monetary asset demand over the period. Copyright 1992 by Ohio State University Press.
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Bibliographic InfoArticle provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.
Volume (Year): 24 (1992)
Issue (Month): 2 (May)
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