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La détention de monnaie dans la théorie du cycle de vie

Listed author(s):
  • Françoise Charpin
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    [fre] La détention de monnaie dans la théorie du cycle de vie L'objet de cet article est d'analyser les conséquences de la détention de monnaie dans le cadre de la théorie du cycle de vie. On montre que le profil de consommation de l'agent dépend du taux d'intérêt nominal et éventuellement du taux d'inflation dans un modèle de cycle de vie où le taux d'emprunt est plus élevé que le taux de placement. Le sens de la dépendance varie selon l'intérêt que l'agent accorde aux services de liquidité rendus par la monnaie. Un agent qui tient à ces services aura un comportement de reconstitution d'encaisse réelle lorsque le prix de ces services augmentera. Par contre, un agent peu attaché à ces services aura un comportement de fuite devant la monnaie. C'est la dérivée seconde croisée de la fonction d'utilité qui mesure l'intérêt de l'agent pour les services de liquidité et qui définit donc son comportement. Pour obtenir une paramétrisation simple des comportements et de l'intensité avec laquelle ils s'exercent, on propose d'adopter une fonction d'utilité CES. Alors si l'élasticité et de substitution entre la monnaie et la consommation est inférieure à l'élasticité intertemporelle de substitution α, l'agent limite sa consommation pour reconstituer son encaisse réelle lorsque le prix des services de liquidité augmente, et plus l'élasticité α est faible plus la reconstitution est grande. Dans le cas contraire α > σ, l'agent fuit la monnaie et plus l'élasticité a est élevée plus il la fuit. Choisir une fonction CES n'est pas restrictif car toutes les situations peuvent être décrites, y compris la séparabilité de la fonction d'utilité (σ = α) et l'introduction de la monnaie dans une contrainte d'encaisse préalable plutôt que dans la fonction d'utilité (α = 0). [eng] Holding money in the life cycle theory The purpose of this paper is to analyze the consequences of holding money in the life cycle framework. We show that the consumption profile of an agent depends on the nominal interest rate and eventually of the inflation rate in a life cycle model in which the borrowing rate is higher than the lending rate. This dependence varies according to the utility that the agent obtains from liquidity services. An agent who values these services positively will rebuild his real balances when the priee of these services increases. On the contrary, an agent who attributes little importance to them, will fiee from money. The utility of the agent for liquidity services is measured by the second cross derivative of the utility function which therefore defines his behavior with respect to real money balances. To obtain a simple parametrization of agent's behavior, we choose a CES utility function. When the elasticity α of substitution between money and consumption is less than elasticity of intertemporal substitution α, the agent reduces his consumption in order to rebuild his real-balances, when faced with an increase in the price of liquidity services ; the lower the elasticily α, the higher is the rebuilding. At the opposite, when α > σ, the agent tends to run his money balances down to an extent which depends on the elasticity α. The choice of a CES utility function is not restrictive since ail cases can be described, including separability of the utility function (σ = α) and the cash-in-advance model (α = 0).

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    File URL: http://www.persee.fr/doc/reco_0035-2764_1992_num_43_3_409360
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    Article provided by Programme National Persée in its journal Revue économique.

    Volume (Year): 43 (1992)
    Issue (Month): 3 ()
    Pages: 419-444

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    Handle: RePEc:prs:reveco:reco_0035-2764_1992_num_43_3_409360
    Contact details of provider: Web page: http://www.persee.fr/collection/reco

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    1. Helpman, Elhanan, 1981. "Optimal Spending and Money Holdings in the Presence of Liquidity Constraints," Econometrica, Econometric Society, vol. 49(6), pages 1559-1570, November.
    2. Stockman, Alan C., 1981. "Anticipated inflation and the capital stock in a cash in-advance economy," Journal of Monetary Economics, Elsevier, vol. 8(3), pages 387-393.
    3. Obstfeld, Maurice, 1984. "Multiple Stable Equilibria in an Optimizing Perfect-Foresight Model," Econometrica, Econometric Society, vol. 52(1), pages 223-228, January.
    4. repec:adr:anecst:y:1989:i:14:p:04 is not listed on IDEAS
    5. Maurice Obstfeld, 1985. "The Capital Inflows Problem Revisited: A Stylized Model of Southern Cone Disinflation," Review of Economic Studies, Oxford University Press, vol. 52(4), pages 605-625.
    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 750-777, October.
    7. 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.
    8. Abel, Andrew B., 1985. "Dynamic behavior of capital accumulation in a cash-in-advance model," Journal of Monetary Economics, Elsevier, vol. 16(1), pages 55-71, July.
    9. Françoise Charpin, 1989. "Les contraintes de liquidité dans la théorie du cycle de vie," Annals of Economics and Statistics, GENES, issue 14, pages 65-101.
    10. Cohen, Daniel, 1985. "Inflation, wealth and interest rates in an intertemporal optimizing model," Journal of Monetary Economics, Elsevier, vol. 16(1), pages 73-85, July.
    11. Svensson, Lars E O, 1985. "Money and Asset Prices in a Cash-in-Advance Economy," Journal of Political Economy, University of Chicago Press, vol. 93(5), pages 919-944, October.
    12. Françoise Charpin, 1988. "Le modèle de cycle de vie, une approche numérique," Revue de l'OFCE, Programme National Persée, vol. 25(1), pages 173-198.
    13. repec:adr:anecst:y:1989:i:14 is not listed on IDEAS
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