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Monetary Asset Substitution in the Euro Area

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Author Info
Zagaglia, Paolo

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Abstract

I estimate time-varying elasticities of substitution between monetary assets for the Euro area using the semi-nonparametric method of Gallant (1981). The estimated elasticities suggest are consistent with the assumption of imperfect substitution between asset. Furthermore, the elasticities provide little evidence for the presence of structural breaks in money demand in the period 2001-2003 suggested by the ECB (2003).

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17878.

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Date of creation: 14 Oct 2009
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Handle: RePEc:pra:mprapa:17878

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Related research
Keywords: money demand; asset substitution; nonparametric methods;

Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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  1. Barnett, William A., 1978. "The user cost of money," Economics Letters, Elsevier, vol. 1(2), pages 145-149. [Downloadable!] (restricted)
  2. Jones, Barry E. & Fleissig, Adrian R. & Elger, Thomas & Dutkowsky, Donald H., 2008. "Monetary policy and monetary asset substitution," Economics Letters, Elsevier, vol. 99(1), pages 18-22, April. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.

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