Suchergebnisse

We estimate the dynamic Fourier expenditure system to obtain consistent estimates of short‐run and long‐run Morishima elasticities of substitution for Canadian liquid assets. We argue that the variability of the estimated elasticities and evidence of less than perfect substitution between monetary assets interferes with the successful use of simple‐sum aggregates and traditional log‐linear money‐demand functions. Calibrations semi‐non‐paramétriques de la substitution pour des actifs monétaires canadiens. Les auteurs calibrent le système dynamique de dépenses à la Fourier pour obtenir des estimations cohérentes des élasticités de substitution à la Morishima à court et à long termes pour des actifs monétaires canadiens. Ils suggèrent que la variabilité des élasticités estimées et la constatation que la substitution n'est pas parfaite entre les actifs monétaires rendent difficile un usage heureux des agrégats de simple somme et des fonctions log‐linéaires de demande de monnaie.

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.