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• W2046674947 abstract "Abstract This article uses a consumer theory-based systemic approach to model the demand for monetary liquid asset holdings in Chile. We implement the suggestions and caveats of aggregation theory for the estimation of a demand system for liquid assets (monies) in static, dynamic and time-varying parameters setups. Our results are robust and theoretically consistent with consumer theory restrictions, as a system derived from a utility maximizing framework and a quasi concave utility function. In our estimations, we find stability of interest rate elasticities, in contrast to previous related literature. We also document evidence that long (short) maturity rates are associated to less (more) liquid assets. Keywords: SUREsemi-nonparametrictime varying parametersmoney demandLAIDSmonetary policyJEL Classification:: E52E58E43 Acknowledgements We have been benefited from comments provided by participants at the 2008 Meetings of the Latin American and Caribbean Economic Association and two anonymous referees. All remaining errors are our own. Notes 1 Our empirical analysis will focus on the demand for M0, M1–M0 and M2–M1 as the main monetary asset holdings. Section II describes the data and shows that M2 is the most comprehensive monetary aggregate which can be thought of as money. In that sense, we are as comprehensive as possible in our inclusion of financial assets. 2 Total budget expenditure x and price index P are also functions of nominal prices. Hence they are both nominal variables but their ratio – real expenditure – is not. Common practice in micro-econometrics has been to approximate P by Stone's (Citation1954) price index defined in Section IV. 3 Previous empirical work on money demand for Chile has been based on using mostly short-maturity interest rates (the overnight monetary policy rate and the 30 to 89-day bank deposit rate (e.g. Adam, Citation2000; De Gregorio, Citation2003; Mies and Soto, 2003; Vergara, Citation2003). 4 Nominal income data used for the velocity calculations are estimated by applying Chow and Lin's (Citation1971) higher frequency interpolation method to quarterly Gross Domestic Product (GDP) series, using the monthly index of economic activity (IMACEC). 5 Cuthbertson (Citation1985) discusses money demands derived for the case when agents face quadratic costs of adjusting their portfolios, which lead to inclusion of lagged dependent variables. 6 The Chi-square statistic associated with such restriction takes a value of 0.32 and a p-value of 0.98. 7 Results with p = 3 remain largely unchanged from those based on p = 2. 8 Choi and Jung (Citation2009) report for the US changes in interest-rate elasticities of money demand testing for endogenous structural breaks. Vergara (Citation2003) reports for Chile largely increases in absolute interest-rate elasticities and semi-elasticities of the demand for simple-sum M1 over time, across three sub-periods defined a priori: 1992 to 1998, 1999 to 2000 and 2001 to 2003. 9 MatLab codes for both the semi-parametric estimation and bootstrap procedures are available upon request. 10 If we want to impose γi 1 + γi 2 + γi 3 = 0 in the demand equation for share i; wi = αi + Σjγij log pj + βi log{x/P} + εt , then we can simply estimate wi = αi + γi 1 log p 1/log p 3 + γi 2 log p 2/log p 3 + βi log{x/P} + εt . 11 Remember that there is no exact measure of price for each aggregate available. Our interpretation is that interest rates at different maturities are good proxies of the opportunity cost of M0, M1–M0 and M2–M1. 12 We have analysed whether our system of demand equations comes from a quasi-concave utility function by checking the eigenvalues of the Slutsky Matrix. In practice, it is easier to check the signs of kij = pipjsij/x, the eigenvalues of which have the same signs as those of sij (Deaton and Muellbauer, Citation1980). We can express kij as kij = γij + βiβj log{x/P} − wiδij + wiwj where δij is the Kronecker delta. Eigenvalues calculated for sample averages and parameter estimates imply a semi-definite negative Slutsky Matrix. The two non zero eigenvalues are: −0.082 and −0.315." @default.
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• W2046674947 date "2013-06-01" @default.
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• W2046674947 title "A systemic approach to modelling and estimating demand for money(ies)" @default.
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• W2046674947 doi "https://doi.org/10.1080/00036846.2011.610745" @default.
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