TY - JOUR
T1 - A liquidity-in-advance model of the demand for money under price uncertainty
AU - Mizrach, Bruce
AU - Santomero, Anthony M.
PY - 1990/8
Y1 - 1990/8
N2 - We develop a model of money demand in which the asset and goods markets open sequentially. Money balances are subject to price-level and consumption risk. Empirical evidence from a bivariate ARCH framework suggests both sources of risk reduced money demand in the 1970s. Inflation risk depresses money demand throughout our sample, 1962-1987. The econometric analysis resolves conflicting empirical estimates reported in the literature.
AB - We develop a model of money demand in which the asset and goods markets open sequentially. Money balances are subject to price-level and consumption risk. Empirical evidence from a bivariate ARCH framework suggests both sources of risk reduced money demand in the 1970s. Inflation risk depresses money demand throughout our sample, 1962-1987. The econometric analysis resolves conflicting empirical estimates reported in the literature.
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U2 - 10.1016/0304-3932(90)90035-3
DO - 10.1016/0304-3932(90)90035-3
M3 - Article
AN - SCOPUS:38249019698
SN - 0304-3932
VL - 26
SP - 143
EP - 159
JO - Carnegie-Rochester Confer. Series on Public Policy
JF - Carnegie-Rochester Confer. Series on Public Policy
IS - 1
ER -