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Estimation of Moneyness Weights of Financial Assets in Simple Macroeconomic Model

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Authors
Lee, SungHwi
Issue Date
1990
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 3 (No. 3 1990): 313-326
Abstract
The basic idea is that various financial assets have different
moneyness characteristics and that money can be empirically
defined as weighted sum of these financial assets. A simple
macroeconomic model is constructed for the purpose of estimating
the moneyness weights of financial assets. We built two
basic propositions of the modern quantity theory of money into
the structure of the model. The model is nonlinear and contains
cross-equation constraints. Nonlinear minimum distance estimator
is applied to the system as a whole, for the case of Japan.
The estimated results agree with the main assertions of the
quantity theory and seem to indicate that we have to pay more
attention to the broader definitions of money.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/900
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.03(3) (Fall 1990)
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