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Semi‐non‐parametric estimates of substitution for Canadian monetary assets

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  • Adrian R. Fleissig
  • Apostolos Serletis

Abstract

We estimate the dynamic Fourier expenditure system to obtain consistent estimates of short‐run and long‐run Morishima elasticities of substitution for Canadian liquid assets. We argue that the variability of the estimated elasticities and evidence of less than perfect substitution between monetary assets interferes with the successful use of simple‐sum aggregates and traditional log‐linear money‐demand functions. Calibrations semi‐non‐paramétriques de la substitution pour des actifs monétaires canadiens. Les auteurs calibrent le système dynamique de dépenses à la Fourier pour obtenir des estimations cohérentes des élasticités de substitution à la Morishima à court et à long termes pour des actifs monétaires canadiens. Ils suggèrent que la variabilité des élasticités estimées et la constatation que la substitution n’est pas parfaite entre les actifs monétaires rendent difficile un usage heureux des agrégats de simple somme et des fonctions log‐linéaires de demande de monnaie.

Suggested Citation

  • Adrian R. Fleissig & Apostolos Serletis, 2002. "Semi‐non‐parametric estimates of substitution for Canadian monetary assets," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 35(1), pages 78-91, February.
    • Handle: RePEc:wly:canjec:v:35:y:2002:i:1:p:78-91
    DOI: 10.1111/1540-5982.00121
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    Cited by:

    1. Haroon Sarwar & Zakir Hussain & Masood Sarwar, 2011. "A Semi-Nonparametric Approach to the Demand for Money in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 16(2), pages 87-110, Jul-Dec.
    2. Serletis, Apostolos & Rangel-Ruiz, Ricardo, 2005. "Microeconometrics and measurement matters: Some results from monetary economics for Canada," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 307-330, June.
    3. Elger, Thomas, 2002. "The Demand for Monetary Assets in the UK; a Locally Flexible Demand System Analysis," Working Papers 2002:6, Lund University, Department of Economics.
    4. Sarwar, haroon & Hussian, zakir & Awan, masood sarwar, 2011. "Money Demand Functions for Pakistan (Divisia Approach)," MPRA Paper 34361, University Library of Munich, Germany.

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