The Demand for Money at the Zero Interest Rate Bound

Tsutomu Watanabe and Tomoyoshi Yabu
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Tsutomu Watanabe: University of Tokyo
Authors registered in the RePEc Author Service: Nao Sudo

No CARF-F-552, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: This paper undertakes both a narrow and wide replication of the estimation of a money demand function conducted by Ireland (American Economic Review, 2009). Using US data from 1980 to 2013, we show that the substantial increase in the money-income ratio during the period of near-zero interest rates is captured well by the log-log specification but not by the semi-log specification, contrary to the result obtained by Ireland (2009). Our estimate of the interest elasticity of money demand over the 1980-2013 period is about one-tenth that of Lucas (2000), who used a log-log specification. Finally, neither specification satisfactorily fits post-2015 US data.

Pages: 17
Date: 2022-12
New Economics Papers: this item is included in nep-his
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Related works:
Journal Article: The demand for money at the zero interest rate bound (2023)
Working Paper: The Demand for Money at the Zero Interest Rate Bound (2022)
Working Paper: The Demand for Money at the Zero Interest Rate Bound (2018)
Working Paper: The Demand for Money at the Zero Interest Rate Bound (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf552

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