零利率下的货币需求

Pub Date : 2023-05-01 DOI:10.1002/jae.2983

Tsutomu Watanabe, Tomoyoshi Yabu

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引用次数: 5

摘要

本文使用1980年以来的美国数据(包括全球金融危机后接近零利率的时期)估计货币需求函数。我们通过协整检验表明，货币收入比在接近零利率时期的大幅增长被对数对数形式的货币需求函数很好地捕捉到，而不是半对数形式的货币需求函数。我们的结果与爱尔兰(2009)获得的结果相反，爱尔兰(2009)使用2006年之前的数据，发现半对数规范表现更好。爱尔兰(2009)的结果差异主要源于观察期的不同:我们的观察期包含24个季度，利率低于1%，而爱尔兰(2009)的观察期只有3个季度。我们还根据估计的货币需求函数计算了通货膨胀的福利成本，发现它非常小:2%的通货膨胀的福利成本仅为国民收入的0.04%，这与爱尔兰(2009)的估计相似，但远小于卢卡斯(2000)的估计。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The demand for money at the zero interest rate bound

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's paper published in 2000, which used a log–log specification. Finally, neither specification satisfactorily fits post-2015 US data.

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