IDEAS home Printed from https://ideas.repec.org/p/zbw/ifwkwp/256.html
   My bibliography  Save this paper

A dynamic singular equation system of asset demand

Author

Listed:
  • Zietz, Joachim
  • Weichert, Ronald

Abstract

The paper presents estimates of a dynamic demand system of the AIDS type for financial assets. The results suggest that dynamic behavior plays a major role in determining asset demand. Estimates on the basis of the equivalent static equilibrium models prove to be clearly inferior statistically. Also, the theoretical restrictions of homogeneity and symmetry are thoroughly rejected by the static model versions, however, not by the dynamic demand system. The cross rate elasticities between bonds and savings deposits and also between money and time deposits are found to be negligible for Germany. Time deposits turn out to be very sensitive to own and cross rates of return.

Suggested Citation

  • Zietz, Joachim & Weichert, Ronald, 1986. "A dynamic singular equation system of asset demand," Kiel Working Papers 256, Kiel Institute for the World Economy (IfW Kiel).
    • Handle: RePEc:zbw:ifwkwp:256
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/47157/1/25513827X.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Barten, A. P., 1969. "Maximum likelihood estimation of a complete system of demand equations," European Economic Review, Elsevier, vol. 1(1), pages 7-73.
    2. Taylor, John C. & Clements, Kenneth W., 1983. "A simple portfolio allocation model of financial wealth," European Economic Review, Elsevier, vol. 23(2), pages 241-251.
    3. BARTEN, Anton P., 1969. "Maximum likelihood estimation of a complete system of demand equations," LIDAM Reprints CORE 34, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Christensen, Laurits R & Jorgenson, Dale W & Lau, Lawrence J, 1975. "Transcendental Logarithmic Utility Functions," American Economic Review, American Economic Association, vol. 65(3), pages 367-383, June.
    5. Conrad, Klaus, 1980. "An application of duality theory : A portfolio composition of the West-German private non-bank sector, 1968-1975," European Economic Review, Elsevier, vol. 13(2), pages 163-187, March.
    6. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-326, June.
    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


    Cited by:

    1. Richard Ochmann, 2013. "Asset demand in the financial AIDS portfolio model -- evidence from a major tax reform," Applied Financial Economics, Taylor & Francis Journals, vol. 23(8), pages 649-670, April.
    2. Richard Ochmann, 2014. "Differential income taxation and household asset allocation," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 880-894, March.
    3. D. Peter Broer & W. Jos Jansen, 1998. "Dynamic Portfolio Adjustment and Capital Controls: A Euler Equation Approach," Southern Economic Journal, John Wiley & Sons, vol. 64(4), pages 902-921, April.
    4. Joachim Zietz, 1994. "An Expanded Graphical Representation of the Portfolio Balance Model of Exchange Rate Determination," The American Economist, Sage Publications, vol. 38(2), pages 52-57, October.
    5. Syriopoulos, Theodore, 2002. "Risk aversion and portfolio allocation to mutual fund classes," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 427-447.
    6. Weichert, Ronald & Zietz, Joachim, 1986. "Das Verhalten der privaten Haushalte am Kapitalmarkt: Eine empirirische Analyse," Kiel Working Papers 262, Kiel Institute for the World Economy (IfW Kiel).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Barnett, William A. & Serletis, Apostolos, 2008. "Consumer preferences and demand systems," Journal of Econometrics, Elsevier, vol. 147(2), pages 210-224, December.
    2. Keuzenkamp, Hugo A. & Barten, Anton P., 1995. "Rejection without falsification on the history of testing the homogeneity condition in the theory of consumer demand," Journal of Econometrics, Elsevier, vol. 67(1), pages 103-127, May.
    3. Holt, Matthew T., 2002. "Inverse demand systems and choice of functional form," European Economic Review, Elsevier, vol. 46(1), pages 117-142, January.
    4. Apostolos Serletis & Libo Xu, 2020. "Demand systems with heteroscedastic disturbances," Empirical Economics, Springer, vol. 58(4), pages 1913-1921, April.
    5. Toan Ngoc Nguyen, 2020. "The Determinants of an Econometric Demand Model for Beverages," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 383-394.
    6. Barnett, William A. & Serletis, Apostolos, 2008. "Measuring Consumer Preferences and Estimating Demand Systems," MPRA Paper 12318, University Library of Munich, Germany.
    7. Korir, Lilian & Rizov, Marian & Ruto, Eric, 2020. "Food security in Kenya: Insights from a household food demand model," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 92, pages 99-108.
    8. Wisdom Akpalu & Michael Adu Okyere, 2023. "Fish Protein Transition in a Coastal Developing Country," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(3), pages 825-843, March.
    9. W D A Bryant, 2009. "General Equilibrium:Theory and Evidence," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6875, January.
    10. William A. Barnett & Isaac Kalonda Kanyama, 2013. "Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?," Applied Economics, Taylor & Francis Journals, vol. 45(29), pages 4169-4183, October.
    11. Serletis, Apostolos & Xu, Libo, 2020. "Functional monetary aggregates, monetary policy, and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    12. Braha, Kushtrim & Cupak, Andrej & Qineti, Artan & Pokrivcak, Jan, 2018. "Food Demand System in Transition Economies: Evidence from Kosovo," 162nd Seminar, April 26-27, 2018, Budapest, Hungary 272050, European Association of Agricultural Economists.
    13. Ling-yun He & Li Liu, 2016. "The demand for road transport in China: imposing theoretical regularity and flexible functional forms selection," Papers 1612.02656, arXiv.org.
    14. Juliana Lucena do Nascimento & Rogério Mazali, 2023. "Technological innovations and preexisting markets: The interaction between Airbnb and New York's hotel and housing markets," Regional Science Policy & Practice, Wiley Blackwell, vol. 15(2), pages 256-287, April.
    15. Korir, Lilian & Rizov, Marian & Ruto, Eric, 2018. "Analysis of household food demand and its implications on food security in Kenya: an application of QUAIDS model," 92nd Annual Conference, April 16-18, 2018, Warwick University, Coventry, UK 273474, Agricultural Economics Society.
    16. Allender, William J. & Richards, Timothy J., 2009. "Measures of Brand Loyalty," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49536, Agricultural and Applied Economics Association.
    17. Bernt P. Stigum, 2021. "Consumer Choice under Certainty and Uncertainty in Applied Econometrics," EERI Research Paper Series EERI RP 2021/08, Economics and Econometrics Research Institute (EERI), Brussels.
    18. Awal, M. A. & Sabur, S. Abdus & Mia, M. I. A., 2008. "Estimation Of Vegetable Demand Elasticities In Bangladesh: Application Of Almost Ideal Demand System Model," Bangladesh Journal of Agricultural Economics, Bangladesh Agricultural University, vol. 31(1-2), pages 1-26, December.
    19. Barnett, William A. & Serletis, Apostolos, 2008. "The Differential Approach to Demand Analysis and the Rotterdam Model," MPRA Paper 12319, University Library of Munich, Germany.
    20. Fabiosa, Jacinto Fama, 1993. "Essays in dynamic adjustment, structural change and data analysis: applications to the demand for meat in the US," ISU General Staff Papers 1993010108000011815, Iowa State University, Department of Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:ifwkwp:256. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/iwkiede.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.