Money-Demand Variability: A Demand-Systems Approach

Fisher, Douglas

doi:10.1080/07350015.1992.10509894

Cited by 21 publications

(14 citation statements)

References 17 publications

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“…We note, however, that Fisher (1992) also found a few positive own elasticities of substitution using US monetary data. From Figure 2, it is clear that the Allen -Uzawa cross elasticities of substitution show considerable variability over the sample.…”

Section: Estimation and Resultsmentioning

confidence: 60%

“…15 If the utility surface is highly nonlinear, then the instability of the single-equation money demand models, as Fisher (1992) and Barnett and Yue (1988) state, may simply reflect the failure adequately to approximate this nonlinear surface. 15 If the utility surface is highly nonlinear, then the instability of the single-equation money demand models, as Fisher (1992) and Barnett and Yue (1988) state, may simply reflect the failure adequately to approximate this nonlinear surface.…”

Section: (B) Morishima Elasticitiesmentioning

confidence: 99%

“…The SNP Fourier flexible form of Gallant (1981) and the Asymptotically Ideal Model (AIM) of Barnett and Jonas (1983) have been used to estimate Allen-Uzawa elasticities of substitution between monetary assets by Fisher (1992) and Barnett and Yue (1988), respectively. This is a property that is not possessed by locally flexible functional forms such as the Translog or AIDS models.…”

Section: Introductionmentioning

confidence: 99%

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A Semi-nonparametric Approach to the Demand for UK Monetary Assets

Drake¹,

Fleissig²,

Swofford³

2003

Economica

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We estimate an asymptotically ideal model of the demand for UK personal sector monetary assets. We use data that are consistent with utility-maximizing behaviour, and find that UK monetary assets are generally substitutes in use. The estimated elasticities of substitution during the 1980s and the early 1990s indicate that a relatively broad monetary aggregate should be used in economic studies. The results also suggest that any policy based on interest or user cost elasticities of substitution between financial assets should be based on the Morishima elasticities, as the Allen-Uzawa calculation can give misleading results.Economica (2003) 70, 99-120

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Section: Estimation and Resultsmentioning

confidence: 60%

Section: (B) Morishima Elasticitiesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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A Semi-nonparametric Approach to the Demand for UK Monetary Assets

Drake¹,

Fleissig²,

Swofford³

2003

Economica

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“…In our study, the indirect utility function is approximated using the Fourier flexible form. The Fourier flexible form has been used in money demand studies by Ewis and Fisher (1985), Fisher (1992), and Fisher and Fleissig (1997). We use the Fourier flexible form because it can globally approximate the levels and partial derivatives of a continuous (utility) function and give arbitrary or unconstrained estimates of elasticities of substitution.…”

Section: The Demand Systemmentioning

confidence: 99%

Semi‐Nonparametric Estimates of Currency Substitution: the Demand for Sterling in Europe

Drake

Fleissig

2004

Rev International Economics

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The paper presents new evidence of significant substitution between European domestic monetary assets and foreign holdings of sterling. The finding of significant cross-country currency substitution implies reduced costs of transition towards monetary union and easier European policy convergence. Elasticities of substitution, using the Morishima measure, are estimated from the semi-nonparametric Fourier flexible form. Copyright Blackwell Publishing Ltd 2004.

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“…15 15 Fisher (1992) also found some violations of quasi‐convexity using monetary data and the Fourier Flexible Form. …”

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confidence: 97%

An empirical comparison of flexible demand system functional forms

Fisher

Fleissig

Serletis

2001

J of Applied Econometrics

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SUMMARYThis paper compares the performance of eight frequently used flexible forms that are either (1) locally flexible, (2) 'effectively globally regular', or (3) asymptotically globally flexible. Results show that the functions with global properties generally perform better, particularly those models having asymptotic properties. Results, using US consumption data, indicate substitutability among the components of consumption at most data points. There is also some interesting substitution volatility around the time of recessions in the USA.

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Money-Demand Variability: A Demand-Systems Approach

Cited by 21 publications

References 17 publications

A Semi-nonparametric Approach to the Demand for UK Monetary Assets

A Semi-nonparametric Approach to the Demand for UK Monetary Assets

Semi‐Nonparametric Estimates of Currency Substitution: the Demand for Sterling in Europe

An empirical comparison of flexible demand system functional forms

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