The Demand for Money: A Rational Expectations Approach
在不确定性下为理性预期的优化消费者推导了货币需求模型，发现货币需求对收入意外变化、未来利率预期等有反应，联合估计消费和货币需求方程验证了预测效果，该模型在1975-85年样本外模拟中优于传统模型。
The authors derive a model of money demand for an optimizing consumer with rational expectations in a discrete time infinte hortizon framework under uncertainty. Mone y demand responds to unanticipated changes in income, one period expe ctations of future bond and money interest rates, unanticipated curre nt interest rates, and past anticipations of current rates. The deriv ed consumption function mirrors money demand behavior. Joint estimati on of the consumption and money demand equations by weighted nonlinea r least squares corroborates the predicted effects, particularly inco me neutrality. This money demand model substantially outperforms a co nventional specification in post-sample simulation over 1975-85. Copyright 1988 by MIT Press.