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| Bruinshoofd, W. Allard; Kool, Clemens J.M.. |
| In this paper we investigate Dutch corporate liquidity management in general, and target adjustment behaviour in particular. To this purpose, we use a simple error correction model of corporate liquidity holdings applied to firm-level data for the period 1977-1997. We confirm the existence of long-run liquidity targets at the firm level. We also find that changes in liquidity holdings are driven by short-run shocks as well as the urge to converge towards targeted liquidity levels. The rate of target convergence is higher when we include more firm-specific information in the target. This result supports the idea that increased precision in defining liquidity targets associates with a faster observed rate of target convergence. It also suggests that the slow... |
| Tipo: Journal Article |
Palavras-chave: Corporate liquidity demand; Precautionary liquidity; C33; C43; E41; G3. |
| Ano: 2004 |
URL: http://purl.umn.edu/37606 |
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| Gillman, Max; Otto, Glenn. |
| The paper presents a theory of the demand for money that combines a special case of the shopping time exchange economy with the cash-in-advance framework. The model predicts that both higher inflation and financial innovation - that reduces the cost of credit - induce agents to substitute away from money towards exchange credit. This results in an interest elasticity of money that rises with the inflation rate rather than the constant elasticity found in standard shopping time specifications. A number of the key predictions of the banking time theory are tested using quarterly data for the US and Australia. We find cointegration empirical support for the model, with robustness checks and a comparison to a standard specification. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Money demand; Cointegration; Financial technology; Banking time; O42; E13; E41; E51; Financial Economics. |
| Ano: 2003 |
URL: http://purl.umn.edu/26221 |
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| Yildirim, Julide. |
| The high degree of economic integration has led to an increased degree of currency substitution in the EU countries, which could bring instability in national money demand functions while an EU-wide money demand function could be more stable. Currency substitution usually takes the form of cross border deposits (CBD), which are not included in the traditional monetary aggregates. Thus, extended monetary aggregates that include the relevant CBDs are defined in this study. In order to investigate the implications of currency substitution for the stability of the demand functions, the traditional and extended monetary aggregates for five EU countries are defined in addition to EU-wide monetary aggregates. The estimated EU-wide demand for extended money... |
| Tipo: Journal Article |
Palavras-chave: Currency substitution; Cross border deposits; Extended monetary aggregates; Demand for money; Vector autoregression; Financial Economics; E41; F33; E52; E47. |
| Ano: 2003 |
URL: http://purl.umn.edu/43999 |
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| Feldkord, Eva-Ulrike. |
| This paper develops a business cycle model with a financial intermediation sector. Financial wealth is defined as a predetermined state variable. Both, the additional sector of financial intermediaries and predetermination of financial wealth, affect the demand for real financial wealth. If real financial wealth also enters the monetary policy rule, the conditions for stability and uniqueness of the macroeconomic equilibrium path change fundamentally compared to standard New Keynesian business cycle models. Here, real financial wealth is interpreted as a real broad monetary aggregate. Furthermore, different interest rate rules and their consequences for stability and uniqueness of the macroeconomic equilibrium path are considered. Two monetary policy rules... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Broad money; Macroeconomic stability; Monetary policy.; Financial Economics; E41; E51; E52. |
| Ano: 2005 |
URL: http://purl.umn.edu/26343 |
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