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  1. 117 経済学研究科・経済学部
  2. Working Papers on Central Bank Communication
  1. 0 資料タイプ別
  2. 60 レポート類
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The Demand for Money at the Zero Interest Rate Bound

http://hdl.handle.net/2261/00076213
http://hdl.handle.net/2261/00076213
9e5af7e7-61bd-4c15-bc12-6acc05f5bd7a
名前 / ファイル ライセンス アクション
cb-wp002.pdf cb-wp002.pdf (249.9 kB)
Item type テクニカルレポート / Technical Report(1)
公開日 2018-09-06
タイトル
タイトル The Demand for Money at the Zero Interest Rate Bound
言語
言語 eng
キーワード
主題Scheme Other
主題 money demand function
キーワード
主題Scheme Other
主題 cointegration
キーワード
主題Scheme Other
主題 ero lower bound
キーワード
主題Scheme Other
主題 near-zero interest rates
キーワード
主題Scheme Other
主題 welfare cost of in ation
キーワード
主題Scheme Other
主題 log-log form
キーワード
主題Scheme Other
主題 semi-log form
キーワード
主題Scheme Other
主題 interest elasticity of money demand
資源タイプ
資源 http://purl.org/coar/resource_type/c_18gh
タイプ technical report
著者 Watanabe, Tsutomu

× Watanabe, Tsutomu

WEKO 151998

Watanabe, Tsutomu

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Yabu, Tomoyoshi

× Yabu, Tomoyoshi

WEKO 151999

Yabu, Tomoyoshi

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著者所属
著者所属 Graduate School of Economics, University of Tokyo
著者所属
著者所属 Faculty of Business and Commerce, Keio University
抄録
内容記述タイプ Abstract
内容記述 This paper estimates a money demand function using US data from 1980 onward, including the period of near-zero interest rates following the global financial crisis. We conduct cointegration tests to show that the substantial increase in the money-income ratio during the period of near-zero interest rates is captured well by the money demand function in log-log form, but not by that in semi-log form. Our result is the opposite of the result obtained by Ireland (2009), who, using data up until 2006, found that the semi-log specification performs better. The difference in the result from Ireland (2009) mainly stems from the difference in the observation period employed: our observation period contains 24 quarters with interest rates below 1 percent, while Ireland's (2009) observation period contains only three quarters. We also compute the welfare cost of in ation based on the estimated money demand function to find that it is very small: the welfare cost of 2 percent in ation is only 0.04 percent of national income, which is of a similar magnitude as the estimate obtained by Ireland (2009) but much smaller than the estimate by Lucas (2000).
内容記述
内容記述タイプ Other
内容記述 Publisher's another name: JSPS Grants-in-Aid for Scientific Research (S) Central Bank Communication Design
書誌情報 Working Papers on Central Bank Communication

巻 002, 発行日 2018-09
著者版フラグ
値 publisher
出版者
出版者 Research Project on Central Bank Communication
関係URI
識別子タイプ URI
関連識別子 http://www.centralbank.e.u-tokyo.ac.jp/en/category/research-data/
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