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The Variability of Velocity in Cash-in-Advance Models

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Author Info
Hodrick, Robert J
Kocherlakota, Narayana R
Lucas, Deborah

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Abstract

Monetary models based on cash-in-advance constraints make strong predictions about the stochastic properties of endogenous variables such as the velocity of circulation of money, the rate of inflation, and real and nominal interest rates. The authors develop numerical methods to understand these predictions because the models cannot be characterized analytically. They calibrate some cash-in-advance models using driving processes estimated from U.S. time-series data to generate model predictions that are compared to sample statistics. Formulations of the models that generate variability in velocity corresponding to the U.S. data typically fail along other dimensions. Copyright 1991 by University of Chicago Press.

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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 99 (1991)
Issue (Month): 2 (April)
Pages: 358-84
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Handle: RePEc:ucp:jpolec:v:99:y:1991:i:2:p:358-84

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Svensson, Lars E O, 1985. "Money and Asset Prices in a Cash-in-Advance Economy," Journal of Political Economy, University of Chicago Press, vol. 93(5), pages 919-44, October. [Downloadable!] (restricted)
  2. Hodrick, Robert J., 1989. "Risk, uncertainty, and exchange rates," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 433-459, May. [Downloadable!] (restricted)
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  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  4. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  5. Backus, David K. & Gregory, Allan W. & Zin, Stanley E., 1989. "Risk premiums in the term structure : Evidence from artificial economies," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 371-399, November. [Downloadable!] (restricted)
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  6. Finn, M.G. & Hoffman, D.L. & Schlagenhauf, D.E., 1988. "Intertemporal Asset-Pricing Relationships In Barter And Monetary Economies: An Empirical Analysis," UWO Department of Economics Working Papers 8805, University of Western Ontario, Department of Economics.
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  7. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March. [Downloadable!] (restricted)
  8. Hartley, Peter R, 1988. "The Liquidity Services of Money," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(1), pages 1-24, February. [Downloadable!] (restricted)
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