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money demand and futures

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Author Info
Chiara Oldani () (ISAE - Institute for Studies and Economic Analyses)

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Abstract

This paper introduces a micro-model of portfolio utility to look at the effects of futures in the allocation process, starting from Lancaster-type utility model (1991), further developed by Glennon and Lane (1996) on money demand; results underline the role of portfolio substitution and crowding out of inefficient financial assets. The synthetic model can be represented by money and financial innovation, lowering the dimension of the assets from 3 to 2. Statistical evidences confirm the validity of assumptions for the US economy at a static level.

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Publisher Info
Paper provided by ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY) in its series ISAE Working Papers with number 69.

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Length: 40 pages
Date of creation: May 2006
Date of revision:
Handle: RePEc:isa:wpaper:69

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Related research
Keywords: futures; money demand model; utility; substitution.;

Find related papers by JEL classification:
D8 - Microeconomics - - Information, Knowledge, and Uncertainty
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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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. Paolo Savona & Aurelio Maccario & Chiara Oldani, 2000. "On Monetary Analysis of Derivatives," Open Economies Review, Springer, vol. 11(1), pages 149-175, August. [Downloadable!] (restricted)
  2. Shastri, Kuldeep & Sultan, Jahangir & Tandon, Kishore, 1996. "The impact of the listing of options in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 37-64, February. [Downloadable!] (restricted)
  3. Gary Gorton & Richard Rosen, 1995. "Banks and Derivatives," Center for Financial Institutions Working Papers 95-07, Wharton School Center for Financial Institutions, University of Pennsylvania.
  4. Gary Gorton & Richard Rosen, 1995. "Banks and derivatives," Working Papers 95-12, Federal Reserve Bank of Philadelphia.
  5. Hunter, William C. & Smith, Stephen D., 2002. "Risk management in the global economy: A review essay," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 205-221, March. [Downloadable!] (restricted)
  6. Gary Gorton & Richard Rosen, . "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers 06-95, Wharton School Rodney L. White Center for Financial Research.
  7. Catharina J. Hooyman, 1993. "The Use of Foreign Exchange Swaps by Central Banks - A Survey," IMF Working Papers 93/64, International Monetary Fund.
  8. Hsing , Yu & Chang, Hui S., 2003. "Testing the Portfolio Theory of Money Demand in the United States," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 56(1), pages 13-21.
  9. Gary Gorton & Richard Rosen, . "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers 6-95, Wharton School Rodney L. White Center for Financial Research.
  10. Gary Gorton & Richard Rosen, 1995. "Banks and Derivatives," NBER Working Papers 5100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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