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The Demand for Money at the Zero Interest Rate Bound
http://hdl.handle.net/2261/00076213
http://hdl.handle.net/2261/000762139e5af7e7-61bd-4c15-bc12-6acc05f5bd7a
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cb-wp002.pdf (249.9 kB)
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Item type | テクニカルレポート / Technical Report(1) | |||||
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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 | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
著者 |
Watanabe, Tsutomu
× Watanabe, Tsutomu× Yabu, Tomoyoshi |
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著者所属 | ||||||
値 | Graduate School of Economics, University of Tokyo | |||||
著者所属 | ||||||
値 | 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 |
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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/ |