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Semi-non-parametric estimates of substitution for Canadian monetary assets.

We estimate the dynamic Fourier expenditure system to obtain consistent estimates of short-run and long-run Morishima elasticities of substitution for Canadian liquid assets. We argue that the variability of the estimated elasticities and evidence of less than perfect substitution between monetary a...

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Published in:Canadian Journal of Economics Vol. 35; no. 1; pp. 78 - 92
Main Authors: Fleissig, Adrian R., Serletis, Apostolos
Format: Article
Published: Wiley-Blackwell February 2002
Subjects:
Substitution (Economics)
Money supply
Money
Canada
Online Access:View this record in EBSCOhost
Summary:We estimate the dynamic Fourier expenditure system to obtain consistent estimates of short-run and long-run Morishima elasticities of substitution for Canadian liquid assets. We argue that the variability of the estimated elasticities and evidence of less than perfect substitution between monetary assets interferes with the successful use of simple-sum aggregates and traditional log-linear money-demand functions. Reprinted by permission of the publisher.