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Financial Market Risk and U.S. Money Demand, David Cook, Woon Choi

Contributor
Abstract
This paper examines empirically U.S. broad money demand emphasizing the role of financial market risk. We find that money demand rises with the liquidity risk of stock markets or the credit risk of corporate bond markets. After controlling for the effect of financial market risk, money demand becomes relatively stable over the last 35 years. At the sectoral level, household money holdings continue to be stable in a traditional model controlling for a decline in transactions costs for investing in mutual funds in the early 1990s. In contrast, business money holdings have been consistently (positively) associated with credit risk
Table Of Contents
Contents; I. Introduction; II. Data; A. Measuring Financial Market Risk; Figures; 1. Measures of Illiquidity, Liquidity Risk, and Default Risk; B. Measuring Money Balances, Opportunity Cost, and Income; 2. Movements in the Velocity of Money; Tables; 1. Augmented Dickey-Fuller Tests; III. Financial Market Risk and Broad Money Demand; A. Traditional Model and Financial Market Risk Model; 2. Cointegrating Vectors: Traditional Money Demand Model; 3. Cointegrating Vectors: Financial Risk Models of Money Demand; 3. Deviations from the Whole-Period Contegrating Vectors
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (35 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781283515740

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