Estimating the Liquidity of M2 Components in the Post-DIDMCA Era

Donald Dutkowsky () and Robert Dunsky ()

Economic Inquiry, 1998, vol. 36, issue 2, 244-57

Abstract: This paper estimates the liquidity of M2 components within an intertemporal model of a representative household. A modification of Gerard A. Pfann and Bart Verspagen's (1989) asymmetric adjustment cost function measures liquidity cost. Generalized method of moments estimation of structural parameters using monthly data for December 1983-March 1993 reveals significant evidence of asymmetry toward decreasing asset holdings for all components except demand deposits. Estimated withdrawal costs for savings deposits, money market mutual funds, and small time deposits are small. Split sample estimations suggest greater liquidity in the more recent period. The results point to the effects of financial innovation in lowering withdrawal costs. Copyright 1998 by Oxford University Press.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:oup:ecinqu:v:36:y:1998:i:2:p:244-57

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Economic Inquiry is currently edited by Preston McAfee

More articles in Economic Inquiry from Western Economic Association International Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().