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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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| Grier, Kevin; Hernandez-Trillo, Fausto. |
| Exchange rate management is a salient macroeconomic issue, especially in developing countries. In this paper, we study political economy factors that may affect the real exchange rate (RER) process and the real economic effects of the RER. We review recent literature on the effects of elections on the exchange rate, and adapt Ball’s (1992) model to show that uncertainty about the future course of policy may make more appreciated RER’s less predictable. We also review the literature on the real effect of RER appreciations and of RER uncertainty. We then construct a simultaneous GARCH-M model of the joint determination of the RER and output capable of testing our hypotheses simultaneously in a single model. We estimate the model using data first from Mexico,... |
| Tipo: Journal Article |
Palavras-chave: Real exchange rate volatility; Economic growth; Electoral cycle; F3; F4; O42. |
| Ano: 2007 |
URL: http://purl.umn.edu/43637 |
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