An Empirical Investigation of Money Demand: Evidence from a Cash-In-Advance Model

Keith Sill ()

Canadian Journal of Economics, 1998, vol. 31, issue 1, 125-147

Abstract: This paper investigates the empirical performance of a cash-in-advance model of money demand in which the income velocity of money may be nonstationary. Generalized method of moments is used to estimate parameters from first-order conditions but, unlike much of the existing empirical work on money/asset pricing models, the Euler equations are not assumed to hold exactly. Instrumental variables methods are used to estimate the model parameters, with careful attention paid to the choice of valid instruments. The estimated parameters are used to solve the model and its predictions are compared with those of an unrestricted VAR.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://links.jstor.org/sici?sici=0008-4085%2819980 ... EIOMD%3E2.0.CO%3B2-4 (text/html)
only available to JSTOR subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cje:issued:v:31:y:1998:i:1:p:125-147

Ordering information: This journal article can be ordered from
https://www.economic ... ionen/membership.php

Access Statistics for this article

Canadian Journal of Economics is currently edited by Zhiqi Chen

More articles in Canadian Journal of Economics from Canadian Economics Association Canadian Economics Association Prof. Werrner Antweiler, Treasurer UBC Sauder School of Business 2053 Main Mall Vancouver, BC, V6T 1Z2. Contact information at EDIRC.
Bibliographic data for series maintained by Prof. Werner Antweiler ().