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ndltd-OhioLink-oai-etd.ohiolink.edu-osu1261310212
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ndltd-OhioLink-oai-etd.ohiolink.edu-osu12613102122021-08-03T05:57:51Z Money demand and the moderate quantity theory of money : an empirical investigation Stec, Jeffery A. <p>The Moderate Quantity Theory (MQT) of Money derives an adjustment process for the periods of disequilibrium between money supply and money demand from microfoundations. It specifies the inflation rate as a function of the disequilibrium between money supply and money demand as well as agents' expectations of next period's inflation.</p><p>We examine this theory as an alternative to other money demand models in the literature. First, agents' expectations of next period's inflation rate are modeled. A median unbiased estimator for the lag dependent variable in an augmented Dickey-Fuller regression is estimated that allows for a time varying order of integration. We find a unit root for the monthly U.S. inflation series from the mid 1970's to the mid 1980's. Before and after that time period, the U.S. inflation series is either stationary or nearly stationary.</p><p>The inflation series is pseudo-differenced using the median unbiased parameter estimate to give a stationary time series. An expanding window ARMA approach is used to estimate the inflation data generating process as new data points are added.</p><p>The MQT regressions give estimates of the speed of adjustment, the scale variable, and the opportunity cost parameters. The parameter estimates are significant and are the right sign. Income elasticities are about 0.5 for narrow measures of money, but increase as the definition of the monetary aggregate is broadened. The interest rate semi-elasticities remain about the same at -0.03 across all the monetary aggregates.</p><p>We compare the explanatory power of various monetary aggregates and find that Ml plus is the best monetary aggregate within the context of our model. Chow tests are used to examine the parameter stability in our regressions: and. unlike many other money demand models, there is little parameter instability across the volatile time periods and various monetary aggregates. Possible endogeneity between the variables in the MQT regressions are also examined with little evidence of that problem.</p><p>The remainder of this work duplicates the efforts made on U.S. post-War monthly data to the OECD G7 countries for the time period 1960-1997 using the quarterly data series found in OECD Main Economic Indicators <i>Historical Statistics</i> 1960-1997.</p> 2000 English text The Ohio State University / OhioLINK http://rave.ohiolink.edu/etdc/view?acc_num=osu1261310212 http://rave.ohiolink.edu/etdc/view?acc_num=osu1261310212 unrestricted This thesis or dissertation is protected by copyright: all rights reserved. It may not be copied or redistributed beyond the terms of applicable copyright laws.
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NDLTD
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| language |
English
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NDLTD
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| author |
Stec, Jeffery A.
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Stec, Jeffery A.
Money demand and the moderate quantity theory of money : an empirical investigation
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| author_facet |
Stec, Jeffery A.
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| author_sort |
Stec, Jeffery A.
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| title |
Money demand and the moderate quantity theory of money : an empirical investigation
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| title_short |
Money demand and the moderate quantity theory of money : an empirical investigation
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| title_full |
Money demand and the moderate quantity theory of money : an empirical investigation
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| title_fullStr |
Money demand and the moderate quantity theory of money : an empirical investigation
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| title_full_unstemmed |
Money demand and the moderate quantity theory of money : an empirical investigation
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| title_sort |
money demand and the moderate quantity theory of money : an empirical investigation
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| publisher |
The Ohio State University / OhioLINK
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| publishDate |
2000
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| url |
http://rave.ohiolink.edu/etdc/view?acc_num=osu1261310212
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AT stecjefferya moneydemandandthemoderatequantitytheoryofmoneyanempiricalinvestigation
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1719428549748719616
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