|
|
The Interest Elasticity of Money Demand: A Meta-Analysis
Slouková, Eliška ; Havránek, Tomáš (advisor) ; Holub, Tomáš (referee)
Even though precise evaluation of money demand function is essential for cen- tral banking and for the right determination of the transmission mechanism, economists have not reached a consensus about the underlying determinants of money demand function neither their magnitude and direction. Researchers differ even in the selection of measures used for the main variables - income, and interest rate. While the heterogeneity in elasticity estimates of the former one has been scrutinize in several quantitative surveys, to the best of our knowledge, there has not been compiled any meta-analysis focusing on differences among the interest rate elasticities of the money demand. Therefore, we collected 53 studies reporting 1 094 estimates of interest rate elasticity. Implementing both the state-of-the-art methods and those proposed only recently, we have found out that researches are prone to selective reporting. Firstly, our results shows that negative publication bias is present in empirical studies of the money de- mand and increases the average elasticity estimate approximately three times (in absolute terms). Secondly, negative highly precise estimates are more likely to be compared to their imprecise counterparts. Additionally, we scrutinize po- tential sources of heterogeneity among individual...
|
|
|
Demand for Cash and Negative Interest Rates
Slouková, Eliška ; Havránek, Tomáš (advisor) ; Čornanič, Aleš (referee)
The literature related to both money demand and negative interest rates is rich in general. However, a piece of work covering the intersection of those two topics is missing. Thus, this thesis focuses on differences in the demand for cash once NIRP is implemented. Using data of real GDP, inflation, interest rates and currency in circulation for economies functioning under negative rates - Denmark, Sweden, Switzerland, The Euro Area, and Japan - VAR models and respective impulse response functions (IRFs) are estimated. Then we compare the response of real money balances to an exogenous one standard deviation shock to interest rate before and after NIRP is implemented. Furthermore, we carried out Johansen test for cointegration, suggesting the existence of cointe- grating relations. Thus, VECMs are employed. Consequently, cumulative IRFs and long-run relations are investigated. Due to only limited sample size avail- ability resulting from still very recent implementation of NIRP, the analysis is rather indicative. Nevertheless, our results suggest that the reaction of real money balances to one standard shock in interest rate might be more substantial in the environment of negative rates. Moreover, all long-run money demands estimates using VECM suggest an increase in the magnitude of interest rates elasticity...
|
guest ::
