The impact of uncertainty on money demand in the UK, US and Euro area
使用Divisia货币总量估计英国、欧元区和美国的货币需求函数，发现英国脱欧和新冠疫情带来的不确定性影响了货币需求稳定性，加入股市波动率指标有助于恢复模型稳定，且不确定性在高度不确定时期对货币需求影响更显著。
We estimate money demand functions for the UK, the Euro area and the US using Divisia monetary aggregates and investigate the extent to which the uncertainty caused by Brexit and Covid have affected these relationships. Our cointegrated VAR analysis shows that for all three economies Brexit and/or Covid have had some impact on the stability of money demand functions. We find that including a measure of stock market volatility in the money demand specifications helps re-establish stability of the models, particularly for the UK and the Euro area. We also explore the uncertainty and money demand relationship in the context of a Markov-switching model. We find that the effect of uncertainty on the demand for money is more pronounced during periods of heightened uncertainty. The findings of this study lend support to studies calling for Divisia aggregates to be given a more prominent role in policymaking, especially when interest rates are in the zero lower bound environment and are less informative about the stance of monetary policy.