The representative household's demand for money in a cointegrated VAR model
A representative household model with liquidity services directly in the utility function is used to derive a stable, data congruent error correction model of broad money demand in Iceland. This model gives a linear, long-run relation between real money balances, output and the opportunity cost of h...
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ftrepec:oai:RePEc:ice:wpaper:wp12 2024-04-14T08:13:37+00:00 The representative household's demand for money in a cointegrated VAR model Thórarinn G. Pétursson http://www.sedlabanki.is/uploads/files/Wp12_a.pdf unknown http://www.sedlabanki.is/uploads/files/Wp12_a.pdf preprint ftrepec 2024-03-19T10:36:11Z A representative household model with liquidity services directly in the utility function is used to derive a stable, data congruent error correction model of broad money demand in Iceland. This model gives a linear, long-run relation between real money balances, output and the opportunity cost of holding money that is used to over-identify the cointegrating space. The over-identifying restrictions suggest that the representative household is equally averse to variations in consumption and real money holdings. Finally, a forward-looking interpretation of the short-run dynamics, assuming quadratic adjustment costs, cannot be rejected by the data. Report Iceland RePEc (Research Papers in Economics) |
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RePEc (Research Papers in Economics) |
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description |
A representative household model with liquidity services directly in the utility function is used to derive a stable, data congruent error correction model of broad money demand in Iceland. This model gives a linear, long-run relation between real money balances, output and the opportunity cost of holding money that is used to over-identify the cointegrating space. The over-identifying restrictions suggest that the representative household is equally averse to variations in consumption and real money holdings. Finally, a forward-looking interpretation of the short-run dynamics, assuming quadratic adjustment costs, cannot be rejected by the data. |
format |
Report |
author |
Thórarinn G. Pétursson |
spellingShingle |
Thórarinn G. Pétursson The representative household's demand for money in a cointegrated VAR model |
author_facet |
Thórarinn G. Pétursson |
author_sort |
Thórarinn G. Pétursson |
title |
The representative household's demand for money in a cointegrated VAR model |
title_short |
The representative household's demand for money in a cointegrated VAR model |
title_full |
The representative household's demand for money in a cointegrated VAR model |
title_fullStr |
The representative household's demand for money in a cointegrated VAR model |
title_full_unstemmed |
The representative household's demand for money in a cointegrated VAR model |
title_sort |
representative household's demand for money in a cointegrated var model |
url |
http://www.sedlabanki.is/uploads/files/Wp12_a.pdf |
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Iceland |
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Iceland |
op_relation |
http://www.sedlabanki.is/uploads/files/Wp12_a.pdf |
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1796311642117505024 |