Financial Market Effects on Aggregate Money Demand: A Bayesian Analysis
使用贝叶斯方法，系统考察了股票和债券等金融市场变量对总货币需求的影响，并通过敏感性分析和协整检验评估了模型稳健性，有助于理解货币与金融资产之间的替代关系。
Empirical researchers in aggregate money demand have long been concerned with the degree of substitutability between money and other capital assets and the impact on money holdings of financial markets developments.Despite the potential importance of financial market linkages to money demand, empirical studies display substantial diversity in modeling these influences.Various econometric studies have found that money holdings may depend on short-term debt returns, bond yields, and even the term structure of interest rates.There is also evidence that stock market returns and measures of stock trading affect money holdings.Existing studies are limited in their evaluation of asset substitution patterns and other financial market effects because they look at a small subset of possible specifications.There are several reasons for model diversity.First, parsimonious models are a practical response to the high degree of collinearity in asset returns.Second, different opinions about the asset substitution patterns lead to various model specifications.For example, Hamburger (1977Hamburger ( , 1983) ) argues that the return on equity is an important variable but it is usually omitted by other researchers.Third, the instability in money demand models suggests that important transaction technology and financial market influences have been omitted from the standard money demand model. 1 The lack of consensus about the causes of instability and the financial market linkages permits considerable latitude in modeling these effects.Many money demand studies focus on debt market relationships to the exclusion of the equity market.Aside from theoretical work to the contrary, this orientation is unfortunate for two reasons.First, Cooley and LeRoy (1981), Leamer (1978, 1982, 1985), and Leamer and Leonard (1983) have documented the problems that ad hoc model selection procedures create for interpreting and reporting results. 2 In our view, their work suggests a healthy skepticism about the reliability of existing evidence on the debt market-and equity market-money demand linkages.Second, there is considerable interest among financial economists in the connections between the stock market and aggregate economic activity (see Fischer and Merton 1984).Integration of the stock market into macroeconomic models cannot be fully realized unless various connections between the equity market and money holdings are explored more carefully.Our principal aim is to discover the circumstances under which aggregate data can support robust inferences about financial market connections to money demand.To address this question, we incorporate various financial influences into a general empirical money demand model in section 1 and employ advances in Bayesian econometric procedures unavailable to earlier investigators [in particular, Cooley and LeRoy (1981)] in section 2, Section 3 contains our econometric results including an extensive sensitivity analysis.In section 4 we address the impact of nonstationarity on our results using a cointegration/error correction model.Section 5 provides a summary of our findings.