Aggregate and Household Demand for Money: Evidence from Public Opinion Survey on Household Financial Assets and Liabilities
We use data from Public Opinion Surveys on Household Financial Assets and Liabilities from 1991 to 2002 to investigate the issues of unobserved heterogeneity among cross-sectional units and stability of Japanese aggregate money demand function. Conditions that permit individual data and aggregate data to be modeled under one consistent format are given. Alternative definitions of money are explored through year-by-year cross-sectional estimates of Fujiki-Mulligan (1996) household money demand model. We find that using M3 appears to be broadly consistent with time series estimates using the aggregates constructed from the micro data. The results appear to support the existence of a stable money demand function for Japan. The estimated income elasticity for M3 is about 0.68 and five year bond interest rate elasticity is about -0.124.
|Date of creation:||Jul 2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.imes.boj.or.jp/
More information through EDIRC
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.:
- Hiroshi Fujiki & Etsuro Shioji, 2006. "Bank Health Concerns, Low Interest Rates, and Money Demand: Evidence from the Public Opinion Survey on Household Financial Assets and Liabilities," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(2), pages 73-124, November.
- Hiroshi Fujiki & Casey B. Mulligan, 1996. "Production, Financial Sophistication, and the Demand for Money by Households and Firms," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 14(1), pages 65-103, July.
- 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.
- Jorgenson, Dale W & Lau, Lawrence J & Stoker, Thomas M, 1980. "Welfare Comparison under Exact Aggregation," American Economic Review, American Economic Association, vol. 70(2), pages 268-72, May.
- Van Garderen, K. J. & Lee, K. & Pesaran M., 1998.
"Cross-sectional Aggregation of Non-linear Models,"
Cambridge Working Papers in Economics
9803, Faculty of Economics, University of Cambridge.
- Yip, C.K. & Wang, P., 1989.
"Alternative Approaches To Money And Growth,"
8-89-4, Pennsylvania State - Department of Economics.
- Heckman, James, 2013.
"Sample selection bias as a specification error,"
Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
- Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2004.
"Aggregate vs Disaggregate Data Analysis — A Paradox in the Estimation of a Money Demand Function of Japan Under the Low Interest Rate Policy,"
IEPR Working Papers
04.1, Institute of Economic Policy Research (IEPR).
- Yan Shen & Cheng Hsiao & Hiroshi Fujiki, 2005. "Aggregate vs. disaggregate data analysis-a paradox in the estimation of a money demand function of Japan under the low interest rate policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 579-601.
- Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2002. "Aggregate vs Disaggregate Data Analysis - A Paradox in the Estimation of Money Demand Function of Japan Under the Low Interest Rate Policy," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A4-1, International Conferences on Panel Data.
- Hiroshi Fujiki & Casey B. Mulligan, 1996. "A Structural Analysis of Money Demand: Cross-Sectional Evidence from Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 14(2), pages 53-78, December.
- Jorgenson, Dale W & Slesnick, Daniel T & Stoker, Thomas M, 1988. "Two-Stage Budgeting and Exact Aggregation," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(3), pages 313-25, July.
- Lau, Lawrence J., 1982. "A note on the fundamental theorem of exact aggregation," Economics Letters, Elsevier, vol. 9(2), pages 119-126.
- Powell, James L. & Stoker, Thomas M., 1985. "The estimation of complete aggregation structures," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 317-344.
- Lewbel, Arthur, 1994. "Aggregation and Simple Dynamics," American Economic Review, American Economic Association, vol. 84(4), pages 905-18, September.
- Lewbel, Arthur, 1992. "Aggregation with Log-Linear Models," Review of Economic Studies, Wiley Blackwell, vol. 59(3), pages 635-42, July.
- Fujiki, Hiroshi & Hsiao, Cheng & Shen, Yan, 2002. "Is There a Stable Money Demand Function under the Low Interest Rate Policy? A Panel Data Analysis," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(2), pages 1-23, April.
When requesting a correction, please mention this item's handle: RePEc:ime:imedps:08-e-17. 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: (Kinken)
If references are entirely missing, you can add them using this form.