[eng] The objective of this article is to explain why the traditional demand for money function has failed to anticipate US monetary aggregate (M2) movements since the early 90s. The standard definition of the opportunity cost of holding M2 has, in fact, become inadequate as it has led to...

It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...