Estimating the liquidity of M2 components in the post-DIDMCA era.
This paper estimates the liquidity of M2 components within an intertemporal model of a representative household. A modification of Pfann and Verspagen's asymmetric adjustment cost function measures liquidity cost. Generalized Method of Moments estimation of structural parameters using monthly data...
| Published in: | Economic Inquiry Vol. 36; no. 2; pp. 244 - 258 |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Published: |
Wiley-Blackwell
April 1998
|
| Subjects: | |
| Online Access: | View this record in EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511053380&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511053380 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00952583 EIQ jtl: Economic Inquiry issn: 00952583 maglogo: N pubinfo: dt: April 1998 vid: 36 iid: 2 pid: 480 pub: Wiley-Blackwell artinfo: ui: 511053380 10.1111/j.1465-7295.1998.tb01710.x ppf: 244 ppct: 14 formats: fmt: @attributes: type: T tig: atl: Estimating the liquidity of M2 components in the post-DIDMCA era. aug: au: Dutkowsky, Donald H. Dunsky, Robert M. su: Bank deposits Money supply Moments method (Statistics) Money market funds Liquidity (Economics) Mathematical models Interest (Finance) United States sug: subj: United States Bank deposits Money supply Moments method (Statistics) Money market funds Liquidity (Economics) Mathematical models Interest (Finance) ab: This paper estimates the liquidity of M2 components within an intertemporal model of a representative household. A modification of Pfann and Verspagen's 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. Reprinted by permission of Western Economic International 7400 Center Ave., Ste. 109, Huntington Beach, CA 92647-3039, USA ph. 1-714-898-3222, Fax 1-714-891-6715 E-mail info@weainternational.org http://www.weainternational.org. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
|---|