Precautionary Money Demand in a Cash‐in‐Advance Model
构建了一个包含异质性家庭流动性需求的简单模型，研究预防性货币需求对家庭现金、政府债券和股票组合的影响，并利用1959年至2022年的数据验证了模型能捕捉到其他模型无法实现的关键时间序列特征。
Abstract While numerous studies in monetary economics explore inflation, interest rates, stock returns, and money velocity, a model seamlessly linking these interactions remains elusive. One crucial omission in this literature is idiosyncratic precautionary money demand, a prominent feature in the data. This paper addresses this gap by presenting a simple model where precautionary money demand arises from heterogeneous household liquidity needs. Despite its intricate heterogeneity, the model allows straightforward aggregation, enabling analysis of its implications for household portfolios composed of cash, government bonds, and equities. The empirical analysis spans the period 1959.I–2022.I. Notably, the model captures crucial time‐series properties that models without the idiosyncratic element fail to achieve.