The Management of Near-Money in the Miller-Orr Model Is Not Optimal
指出米勒-奥尔三资产模型忽略了一种角点解，即管理者可能只持有最高收益资产，从而质疑该模型对多资产货币管理最优性的结论。
The most prominent model of the transactions demand for money that incorporates the availability of more than one interest-bearing asset is that of Miller and Orr (1968). This three-asset model is an extension of their simpler two-asset (money, bonds) model in which money is managed as an inventory with the objective of minimizing holding and transactions costs. The extended model is used in graduatelevel textbooks to show that a corporate money manager facing an array of assets will behave much like the manager faced with a choice between money and only one type of security, so that the simple model is an adequate basis for modeling the demand for money. 1 In empirical work a similar belief is reflected in implementations of the transactions model of money demand that utilize a broad definition of money, as though transactions motives will induce a money manager to handle a spectrum of near-money assets in the same way as the medium of exchange. The Miller-Orr model appears to support such interpretations because in its three-asset version the interrnediate interest-bearing asset is managed in a fashion similar to that of non-interest-bearing money. But when Miller and Orr solve this extended version of their model they neglect the corner solution that would allow the manager to hold only the highest yielding asset. In this note I show that when the corner solution is