Replication data for: Persistent Liquidity Effects and Long-Run Money Demand
Principal Investigator(s): View help for Principal Investigator(s) Fernando Alvarez; Francesco Lippi
Version: View help for Version V1
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Project Citation:
Alvarez, Fernando, and Lippi, Francesco. Replication data for: Persistent Liquidity Effects and Long-Run Money Demand. Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114297V1
Project Description
Summary:
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We present a monetary model with segmented asset markets that
implies a persistent fall in interest rates after a once and for all increase
in liquidity. The gradual propagation mechanism produced
by our model is novel in the literature. We provide an analytical
characterization of this mechanism, showing that the magnitude
of the liquidity effect on impact, and its persistence, depend
on the ratio of two parameters: the long-run interest rate elasticity
of money demand and the intertemporal substitution elasticity.
The model simultaneously explains the short-run "instability"
of money demand estimates as-well-as the stability of long-run
interest-elastic money demand.
Scope of Project
JEL Classification:
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E13 General Aggregative Models: Neoclassical
E31 Price Level; Inflation; Deflation
E41 Demand for Money
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
E62 Fiscal Policy
E13 General Aggregative Models: Neoclassical
E31 Price Level; Inflation; Deflation
E41 Demand for Money
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
E62 Fiscal Policy
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