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On the integrability of money-demand functions by the Sidrauski and the shopping-time models

  • Cysne, Rubens Penha
  • Turchick, David

This paper investigates which properties money-demand functions must satisfy so that they are consistent with Lucas's [Lucas Jr., R.E., 2000. Inflation and welfare. Econometrica 68, 247-274] versions of the Sidrauski and the shopping-time models. We conclude that shopping-time-integrable money-demand functions are necessarily also Sidrauski-integrable, but that the converse is not necessarily true, unless a boundedness assumption on the nominal interest rate is made. Both the log-log with an interest-rate elasticity greater than or equal to one and the semi-log money demands may serve as counterexamples. All the models and results are also extended to the case in which there are several assets in the economy performing monetary functions.

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 33 (2009)
Issue (Month): 9 (September)
Pages: 1555-1562

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Handle: RePEc:eee:jbfina:v:33:y:2009:i:9:p:1555-1562
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Robert E. Lucas, Jr., 2000. "Inflation and Welfare," Econometrica, Econometric Society, vol. 68(2), pages 247-274, March.
  2. Cysne, Rubens P, 2003. " Divisia Index, Inflation, and Welfare," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(2), pages 221-38, April.
  3. Carbó Valverde Santiago & Massoud Nadia & Rodríguez-Fernández Francisco & Saunders Anthony & Scholnick Barry, 2007. "The Economics of Credit Cards, Debit Cards and ATMs: A Survey and Some New Evidence," Working Papers 201074, Fundacion BBVA / BBVA Foundation.
  4. Cysne, Rubens Penha & Turchick, David, 2007. "An Ordering of Measures of the Welfare Cost of Inflation in Economies with Interest-Bearing Deposits," Economics Working Papers (Ensaios Economicos da EPGE) 659, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  5. Cysne, Rubens Penha, 2002. "A note on the integrability of partial-equilibrium measures of the welfare costs of inflation," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2357-2363.
  6. Brock, William A, 1974. "Money and Growth: The Case of Long Run Perfect Foresight," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(3), pages 750-77, October.
  7. Holman, Jill A, 1998. "GMM Estimation of a Money-in-the-Utility-Function Model: The Implications of Functional Forms," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(4), pages 679-98, November.
  8. Siegel, Jeremy J, 1983. "Technological Change and the Superneutrality of Money," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 363-67, August.
  9. Cysne, Rubens Penha, 2006. "A note on the non-convexity problem in some shopping-time and human-capital models," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2737-2745, October.
  10. Hiraguchi, Ryoji, 2009. "Non-concavity problems in the dynamic macroeconomic models: A note," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 568-572, March.
  11. Weil, Philippe, 1991. "Is Money Net Wealth?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(1), pages 37-53, February.
  12. Marvin Goodfriend, 1997. "A framework for the analysis of moderate inflations," Working Paper 97-04, Federal Reserve Bank of Richmond.
  13. Cysne, Rubens Penha, 2008. "A note on "Inflation and Welfare"," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1984-1987, September.
  14. Fischer, Stanley, 1979. "Capital Accumulation on the Transition Path in a Monetary Optimizing Model," Econometrica, Econometric Society, vol. 47(6), pages 1433-39, November.
  15. Feenstra, Robert C., 1986. "Functional equivalence between liquidity costs and the utility of money," Journal of Monetary Economics, Elsevier, vol. 17(2), pages 271-291, March.
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