Money-Demand Variability: A Demand-Systems Approach.
This article tests the Fourier flexible form on quarterly U.S. monetary data. The data have been prescreened for consistency with the general axiom of revealed preference, and subindexes are formed using the Divisia approach. In this article, the global Fourier model fits well, although there is a potential problems of overfitting and certain data points exhibit behavior inconsistent with the model. The elasticities are variable over time, particularly around business-cycle troughs. It appears that financial asset demand surfaces are highly nonlinear and the many unsuccessful existing attempts to estimate money demand may not have worked well for this reason.
Year of publication: |
1992
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Authors: | Fisher, Douglas |
Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 10.1992, 2, p. 143-51
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Publisher: |
American Statistical Association |
Saved in:
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