货币需求的稳定性:来自转移熵的新证据

Hadi Movaghari , Apostolos Serletis , Georgios Sermpinis
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引用次数: 0

摘要

本文从一个新的视角,即信息论,重新审视了利率与货币需求之间的经验关系。特别是,我们利用无模型转移熵来量化从利率到货币总量的信息流,并提出了三项发现。首先,我们记录了利率与 M1 货币总量之间的驼峰形信息联系,在 20 世纪 80 年代末和 90 年代初出现了一个圆形高点。其次,我们确定了从利率到 M1 的信息传递的三次结构性转变。前两个断点出现在 20 世纪 80 年代初和 90 年代中期,可能分别是对取消 Q 条例和引入扫尾技术的反应。第三个转变发生在相对较少探索的 2000 年代初。最后,尽管在诱发货币需求不稳定性方面存在明显的相似性,但我们揭示了前两个变化点之间以前未曾报道过的关键区别:20 世纪 80 年代的金融监管放松促进了信息的传递,而 20 世纪 90 年代的金融改革则阻碍了信息的流动。我们的研究结果对其他熵指标也是稳健的。
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Money demand stability: New evidence from transfer entropy

This paper revisits the empirical relationship between interest rates and money demand from a novel perspective, i.e., information theory. Particularly, we utilize the model-free transfer entropy to quantify the flow of information from interest rates to monetary aggregates and present three findings. First, we document a hump-shaped informational link between interest rate and M1 monetary aggregate, with a rounded high point in the late 1980s and early 1990s. Second, we identify three structural shifts in the information transmission from interest rate to M1. The first two breakpoints occurred in the early 1980s and mid-1990s, likely as a response to the removal of Regulation Q and the introduction of sweep technology, respectively. The third shift took place during the relatively less-explored period of the early 2000s. Finally, we unravel a previously unreported pivotal distinction between the first two changepoints despite the apparent similarity in inducing money demand instability: the 1980s financial deregulations facilitate the transmission of information, whereas the 1990s financial reforms acted as an impediment to the information flow. Our results are robust to alternative entropy measures.

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来源期刊
International Economics
International Economics Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
6.30
自引率
0.00%
发文量
74
审稿时长
71 days
期刊最新文献
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