TY - JOUR
T1 - Intertemporal asset-pricing relationships in barter and monetary economies An empirical analysis
AU - Finn, Mary G.
AU - Hoffman, Dennis
AU - Schlagenhauf, Don E.
N1 - Funding Information:
*The authors thank Masao Ogaki for providing the generalized-method-of-moments estimation program used in the research reported here. The authors also thank Masao Ogaki, Kenneth Singleton, Gregor Smith, an anonymous referee, and participants of workshops at Arizona State University, Michigan State University, Queen’s University, University of Rochester, and University of Toronto for helpful comments. The second and final revisions of this research were completed while Mary Finn visited the University of Rochester on a National Science Foundation Visiting Professorship for Women. Any errors are our responsibility.
PY - 1990/6
Y1 - 1990/6
N2 - This paper explores whether liquidity services and nonsuperneutral effects of money are important for and permit improved explanation of asset returns. Euler equations governing asset choices, implied by dynamic barter, cash-in-advance (CIA), and money-in-the-utility function models, are estimated and testing using generalized-method-of-moments techniques and monthly data for the U.S. Observational equivalence between CIA and barter models is shown under specific assumptions about the timing of information and decisions. The findings suggest that only for one CIA model are monetary effects both important for and permit improved explanation of asset returns. Success in this regard is (not) for stock (treasury-bill) returns.
AB - This paper explores whether liquidity services and nonsuperneutral effects of money are important for and permit improved explanation of asset returns. Euler equations governing asset choices, implied by dynamic barter, cash-in-advance (CIA), and money-in-the-utility function models, are estimated and testing using generalized-method-of-moments techniques and monthly data for the U.S. Observational equivalence between CIA and barter models is shown under specific assumptions about the timing of information and decisions. The findings suggest that only for one CIA model are monetary effects both important for and permit improved explanation of asset returns. Success in this regard is (not) for stock (treasury-bill) returns.
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U2 - 10.1016/0304-3932(90)90062-9
DO - 10.1016/0304-3932(90)90062-9
M3 - Article
AN - SCOPUS:38249020290
SN - 0304-3932
VL - 25
SP - 431
EP - 451
JO - Journal of Monetary Economics
JF - Journal of Monetary Economics
IS - 3
ER -