Journal of Banking & Finance Vol. 33 No. 9 2009
On the integrability of money-demand functions by the Sidrauski and the shopping-time models
Abstract
This paper investigates which properties money-demand functions must satisfy so that they are consistent with Lucas’s [Lucas Jr., R.E., 2000. Inflation and welfare. Econometrica 68, 247–274] versions of the Sidrauski and the shopping-time models. We conclude that shopping-time-integrable money-demand functions are necessarily also Sidrauski-integrable, but that the converse is not necessarily true, unless a boundedness assumption on the nominal interest rate is made. Both the log–log with an interest-rate elasticity greater than or equal to one and the semi-log money demands may serve as counterexamples. All the models and results are also extended to the case in which there are several assets in the economy performing monetary functions.
- DOI
- 10.1016/j.jbankfin.2009.01.010
- Volume
- 33
- Issue
- 9
- Pages
- 1555-1562
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib