GMM Estimation of a Money-in-the-Utility-Function Model: The Implications of Functional Forms
研究货币作为提供流动性服务的资产直接进入效用函数的情况，使用广义矩方法估计不同效用函数设定下的欧拉方程系数，并比较参数估计结果。
This paper studies consumer demand for real balances by allowing money to enter directly into an aggregate utility function as an asset that provides liquidity services. The essay extends existing literature by investigating a money-in-the-utility-function model under a variety of specifications of the representative agent's objective function. The empirical analysis employs the generalized-method-of-moments technique to estimate the coefficients of the Euler equations derived from the structural model. The parameter estimates are compared across specifications of the utility function and across data sets. The results provide some support for the view that the liquidity services provided by real balances contribute to utility.