money demand and futures

Chiara Oldani

No 69, ISAE Working Papers from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)

Abstract: This paper introduces a micro-model of portfolio utility to look at the effects of futures in the allocation process, starting from Lancaster-type utility model (1991), further developed by Glennon and Lane (1996) on money demand; results underline the role of portfolio substitution and crowding out of inefficient financial assets. The synthetic model can be represented by money and financial innovation, lowering the dimension of the assets from 3 to 2. Statistical evidences confirm the validity of assumptions for the US economy at a static level.

Keywords: futures; money demand model; utility; substitution. (search for similar items in EconPapers)
JEL-codes: D8 E41 G11 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2006-05
New Economics Papers: this item is included in nep-mac, nep-mon and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:isa:wpaper:69

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