Advanced Search
MyIDEAS: Login to save this paper or follow this series

The demand of liquid assets with uncertain lumpy expenditures

Contents:

Author Info

  • Fernando Alvarez

    (University of Chicago)

  • Francesco Lippi

    (University of Sassari and EIEF)

Abstract

We consider an inventory model for a liquid asset where the per-period net expenditures have two components: one that is frequent and small and another that is infrequent and large. We give a theoretical characterization of the optimal management of liquid asset as well as of the implied observable statistics. We use our characterization to interpret some aspects of households’ currency management in Austria, as well as the management of demand deposits by a large sample of Italian investors.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.eief.it/files/2013/03/wp-07-the-demand-of-liquid-assets-with-uncertain-lumpy-expenditures.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Einaudi Institute for Economics and Finance (EIEF) in its series EIEF Working Papers Series with number 1307.

as in new window
Length: 69 pages
Date of creation: 2013
Date of revision: Mar 2013
Handle: RePEc:eie:wpaper:1307

Contact details of provider:
Postal: Via Sallustiana, 62 - 00187 Roma
Phone: +39 066790013
Fax: +39 0647924872
Email:
Web page: http://www.eief.it/repec
More information through EDIRC

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

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.:
as in new window
  1. Bensoussan, Alain & Chutani, Anshuman & Sethi, Suresh, 2009. "Optimal Cash Management Under Uncertainty," MPRA Paper 19896, University Library of Munich, Germany.
  2. Fernando Alvarez & Luigi Guiso & Francesco Lippi, 2010. "Durable Consumption and Asset Management with Transaction and Observation Costs," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) 1001, Einaudi Institute for Economics and Finance (EIEF), revised Jan 2010.
  3. Bates, Thomas W. & Kahle, Kathleen M. & Stulz, Rene M., 2007. "Why Do U.S. Firms Hold So Much More Cash Than They Used To?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2006-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  4. Blyth C. Archibald & Edward A. Silver, 1978. "(s, S) Policies Under Continuous Review and Discrete Compound Poisson Demand," Management Science, INFORMS, INFORMS, vol. 24(9), pages 899-909, May.
  5. Whitesell, William C, 1989. "The Demand for Currency versus Debitable Accounts: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 21(2), pages 246-57, May.
  6. Jacob A. Frenkel & Boyan Jovanovic, 1978. "On Transactions and Precautionary Demand For Money," NBER Working Papers 0288, National Bureau of Economic Research, Inc.
  7. Duffie, Darrell & Sun, Tong-sheng, 1990. "Transactions costs and portfolio choice in a discrete-continuous-time setting," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 14(1), pages 35-51, February.
  8. Grossman, Sanford J & Laroque, Guy, 1990. "Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods," Econometrica, Econometric Society, Econometric Society, vol. 58(1), pages 25-51, January.
  9. Orazio P. Attanasio & Luigi Guiso & Tullio Jappelli, 2002. "The Demand for Money, Financial Innovation, and the Welfare Cost of Inflation: An Analysis with Household Data," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 110(2), pages 317-351, April.
  10. Baccarin, Stefano, 2009. "Optimal impulse control for a multidimensional cash management system with generalized cost functions," European Journal of Operational Research, Elsevier, Elsevier, vol. 196(1), pages 198-206, July.
  11. Francesco Lippi & Alessandro Secchi, 2008. "Technological change and the households' demand for currency," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) 0801, Einaudi Institute for Economics and Finance (EIEF), revised Oct 2008.
  12. Jovanovic, Boyan, 1982. "Inflation and Welfare in the Steady State," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 90(3), pages 561-77, June.
  13. Bar-Ilan, A., 1988. "Overdrafts And The Demand For Money," Papers, Tel Aviv 34-88, Tel Aviv.
  14. Edwin H. Neave, 1970. "The Stochastic Cash Balance Problem with Fixed Costs for Increases and Decreases," Management Science, INFORMS, INFORMS, vol. 16(7), pages 472-490, March.
  15. Eppen, Gary D & Fama, Eugene F, 1969. "Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(2), pages 119-33, June.
  16. Fernando E. Alvarez & Francesco Lippi, 2007. "Financial Innovation and the Transactions Demand for Cash," NBER Working Papers 13416, National Bureau of Economic Research, Inc.
  17. Milbourne, Ross, 1983. "Optimal Money Holding under Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 685-98, October.
  18. Peter Mooslechner & Helmut Stix & Karin Wagner, 2006. "How Are Payments Made in Austria?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 111–134.
  19. Andrew B. Abel & Janice C. Eberly & Stavros Panageas, 2007. "Optimal Inattention to the Stock Market," American Economic Review, American Economic Association, American Economic Association, vol. 97(2), pages 244-249, May.
  20. Bar-Ilan, Avner & Perry, David & Stadje, Wolfgang, 2004. "A generalized impulse control model of cash management," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(6), pages 1013-1033, March.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. F. Alvarez & H. Le Bihan & F. Lippi, 2014. "Small and large price changes and the propagation of monetary shocks," Working papers, Banque de France 492, Banque de France.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eie:wpaper:1307. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Facundo Piguillem).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.