Intertemporal asset-pricing relationships in barter and monetary economies An empirical analysis

Mary G. Finn, Dennis Hoffman, Don E. Schlagenhauf

Research output: Contribution to journalArticle

28 Citations (Scopus)

Abstract

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.

Original languageEnglish (US)
Pages (from-to)431-451
Number of pages21
JournalJournal of Monetary Economics
Volume25
Issue number3
DOIs
StatePublished - 1990

Fingerprint

Cash in advance
Empirical analysis
Barter
Asset pricing
Asset returns
Liquidity
Testing
Generalized method of moments
Euler equations
Observational equivalence
Cash-in-advance model
Utility function
Assets

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Intertemporal asset-pricing relationships in barter and monetary economies An empirical analysis. / Finn, Mary G.; Hoffman, Dennis; Schlagenhauf, Don E.

In: Journal of Monetary Economics, Vol. 25, No. 3, 1990, p. 431-451.

Research output: Contribution to journalArticle

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