money demand and futures
This paper introduces a micro-model of portfolio utility to look at the effects of futures in the allocation process, starting from Lancaster-type utility model (1991), further developed by Glennon and Lane (1996) on money demand; results underline the role of portfolio substitution and crowding out of inefficient financial assets. The synthetic model can be represented by money and financial innovation, lowering the dimension of the assets from 3 to 2. Statistical evidences confirm the validity of assumptions for the US economy at a static level.
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- Gary Gorton & Richard Rosen, 1995.
"Banks and Derivatives,"
Center for Financial Institutions Working Papers
95-07, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Gary Gorton & Richard Rosen, 1995. "Banks and derivatives," Working Papers 95-12, Federal Reserve Bank of Philadelphia.
- Gary Gorton & Richard Rosen, 1995. "Banks and Derivatives," NBER Working Papers 5100, National Bureau of Economic Research, Inc.
- Gary Gorton & Richard Rosen, . "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers 06-95, Wharton School Rodney L. White Center for Financial Research.
- Gary Gorton & Richard Rosen, . "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers 6-95, Wharton School Rodney L. White Center for Financial Research.
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"Tobin's imperfect asset substitution in optimizing general equilibrium,"
2004-003, Federal Reserve Bank of St. Louis.
- Andrés, Javier & López-Salido, J David & Nelson, Edward, 2004. "Tobin's Imperfect Asset Substitution in Optimizing General Equilibrium," CEPR Discussion Papers 4336, C.E.P.R. Discussion Papers.
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- von Hagen, Jürgen & Fender, Ingo, 1998.
"Central bank policy in a more perfect financial system,"
ZEI Working Papers
B 03-1998, ZEI - Center for European Integration Studies, University of Bonn.
- JÃ¼rgen Von Hagen & Ingo Fender, 1998. "Central Bank Policy in a More Perfect Financial System," Open Economies Review, Springer, vol. 9(1), pages 493-532, January.
- Hsing , Yu & Chang, Hui S., 2003. "Testing the Portfolio Theory of Money Demand in the United States," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 56(1), pages 13-21.
- P. A. Tinsley, 1998. "Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty," Finance and Economics Discussion Series 1999-14, Board of Governors of the Federal Reserve System (U.S.).
- Ingo Fender, 2000. "Corporate hedging: the impact of financial derivatives on the broad credit channel of monetary policy," BIS Working Papers 94, Bank for International Settlements.
- Catharina J. Hooyman, 1993. "The Use of Foreign Exchange Swaps by Central Banks: A Survey," IMF Working Papers 93/64, International Monetary Fund.
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- Hunter, William C. & Smith, Stephen D., 2002. "Risk management in the global economy: A review essay," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 205-221, March.
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