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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6-95, Wharton School Rodney L. White Center for Financial Research.
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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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