Title of article :
Money demand heterogeneity and the great moderation
Author/Authors :
Pablo A. Guerron-Quintana، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Abstract :
A forward-looking model of the demand for money based on heterogeneous and sluggish-portfolio adjustment can simultaneously account for the low short-run and high long-run semi-elasticities reported in the literature. The parameter estimates from the model for the short-run and long-run interest semi-elasticities are 1.04 and 13.16, respectively. A simulated version of the model suggests that the Great Moderation can be partially attributed to financial innovations in the late 1970s. When moving toward a more flexible portfolio, the model can account for almost one-third of the observed decline in the volatilities of output, consumption, and investment.
Keywords :
Financial innovationGreat moderationGMMMoney demandSluggish-portfolio adjustmentMonetary andtechnologyshocks
Journal title :
Journal monetary economics
Journal title :
Journal monetary economics