The Demand for Monetary Assets in the UK; a Locally Flexible Demand System Analysis
This study provides strong empirical support for modeling the demand for monetary assets within a consumer demand framework. We estimate a linearised locally flexible almost ideal demand system, containing five monetary assets, over the period 1991Q4 to 1998Q4. Estimating the system in differences is a convenient method to account for possible non-stationarity in the data, a major concern for applied macroeconomists. All significant un-compensated own-price elasticities are negative. The compensated own-price elasticities are insignificant and the majority of the income elasticities are significant. Theoretical homogeneity and symmetry propositions are satisfied.
|Date of creation:||28 Feb 2002|
|Contact details of provider:|| Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden|
Phone: +46 +46 222 0000
Fax: +46 +46 2224613
Web page: http://www.nek.lu.se/en
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter C.B. Phillips & Pierre Perron, 1986.
"Testing for a Unit Root in Time Series Regression,"
Cowles Foundation Discussion Papers
795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
- William Barnett & Apostolos Serletis & W. Erwin Diewert, 2005. "The Theory of Monetary Aggregation (book front matter)," Macroeconomics 0511008, EconWPA.
- Alston, Julian M & Foster, Kenneth A & Green, Richard D, 1994. "Estimating Elasticities with the Linear Approximate Almost Ideal Demand System: Some Monte Carlo Results," The Review of Economics and Statistics, MIT Press, vol. 76(2), pages 351-356, May.
- Belongia, Michael T, 1996. "Measurement Matters: Recent Results from Monetary Economics Reexamined," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 1065-1083, October.
- Apostolos Serletis & Asghar Shahmoradi, 2006. "Semi-Nonparametric Estimates of the Demand for Money in the United States," World Scientific Book Chapters,in: Money And The Economy, chapter 14, pages 278-298 World Scientific Publishing Co. Pte. Ltd..
- Serletis, Apostolos & Shahmoradi, Asghar, 2005. "Semi-Nonparametric Estimates Of The Demand For Money In The United States," Macroeconomic Dynamics, Cambridge University Press, vol. 9(04), pages 542-559, September.
- Chalfant, James A, 1987. "A Globally Flexible, Almost Ideal Demand System," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(2), pages 233-242, April.
- David Edgerton & Ghazi Shukur, 1999. "Testing autocorrelation in a system perspective testing autocorrelation," Econometric Reviews, Taylor & Francis Journals, vol. 18(4), pages 343-386.
- Pashardes, Panos, 1993. "Bias in Estimating the Almost Ideal Demand System with the Stone Index Approximation," Economic Journal, Royal Economic Society, vol. 103(419), pages 908-915, July.
- Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
- Richard G. Anderson & Barry E. Jones & Travis D. Nesmith, 1996. "Building new monetary services indices: methodology and source data," Working Papers 1996-008, Federal Reserve Bank of St. Louis.
- Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- William Barnett, 2005. "Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200510, University of Kansas, Department of Economics, revised Mar 2005.
- Drake, Leigh & Fleissig, Adrian R & Mullineux, Andy, 1999. "Are "Risky Assets" Substitutes for "Monetary Assets"?," Economic Inquiry, Western Economic Association International, vol. 37(3), pages 510-526, July.
- Paul Fisher & Suzanne Hudson & Mahmood Pradhan, 1993. "Divisia Indices for Money: An Appraisal of Theory and Practice," Bank of England working papers 9, Bank of England.
- Richard G. Anderson & Barry E. Jones & Travis D. Nesmith, 1996. "Monetary aggregation theory and statistical index numbers," Working Papers 1996-007, Federal Reserve Bank of St. Louis.
- Binner, Jane & Elger, Thomas & de Peretti, Philipe, 2002. "Is UK Risky Money Weakly Separable? A Stochastic Approach," Working Papers 2002:13, Lund University, Department of Economics.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Barnett, William A & Lee, Yul W, 1985. "The Global Properties of the Miniflex Laurent, Generalized Leontief, and Translog Flexible Functional Forms," Econometrica, Econometric Society, vol. 53(6), pages 1421-1437, November.
- Fleissig, Adrian & Swofford, James L., 1996. "A dynamic asymptotically ideal model of money demand," Journal of Monetary Economics, Elsevier, vol. 37(2-3), pages 371-380, April.
- Robert E. Lucas, Jr., 2000. "Inflation and Welfare," Econometrica, Econometric Society, vol. 68(2), pages 247-274, March.
- Adrian R. Fleissig & Apostolos Serletis, 2002. "Semi-non-parametric estimates of substitution for Canadian monetary assets," Canadian Journal of Economics, Canadian Economics Association, vol. 35(1), pages 78-91, February.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Drake, Leigh & Chrystal, K Alec, 1997. "Personal Sector Money Demand in the UK," Oxford Economic Papers, Oxford University Press, vol. 49(2), pages 188-206, April.
- 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)
When requesting a correction, please mention this item's handle: RePEc:hhs:lunewp:2002_006. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David Edgerton)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.