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Estimation of Moneyness Weights of Financial Assets in Simple Macroeconomic Model
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- Authors
- Issue Date
- 1990-07
- Citation
- Seoul Journal of Economics, Vol.3 No.3, pp. 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
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