On the Integrability of Money-Demand Functions by the Sidrauski and the Shopping-Time Models

26 Pages Posted: 11 Feb 2014

See all articles by Rubens Penha Cysne

Rubens Penha Cysne

Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças

David Turchick

Department of Economics, University of São Paulo (FEA-USP)

Date Written: January 08, 2009

Abstract

This paper investigates which properties money-demand functions must satisfy so that they are consistent with Lucasís [Lucas, R.E., Jr., 2000. Inflation and welfare. Econometrica 68, 247-274] versions of the Sidrauski and the shopping-time models. We conclude that shopping-time-integrable money-demand functions are necessarily also Sidrauski-integrable, but that the converse is not necessarily true, unless a boundedness assumption on the nominal interest rate is made. Both the log-log with an interest-rate elasticity greater than or equal to one and the semi-log money demands may serve as counterexamples. All the models and results are also extended to the case in which there are several assets in the economy performing monetary functions.

Keywords: Money demand; Integrability; Sidrauski; Shopping time; Interest-bearing assets

JEL Classification: C0; E40; D50; D60

Suggested Citation

Cysne, Rubens Penha and Turchick, David, On the Integrability of Money-Demand Functions by the Sidrauski and the Shopping-Time Models (January 08, 2009). Available at SSRN: https://ssrn.com/abstract=2393993 or http://dx.doi.org/10.2139/ssrn.2393993

Rubens Penha Cysne (Contact Author)

Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças ( email )

Praia de Botafogo 190/1125, CEP
Rio de Janeiro RJ 22253-900
Brazil
+55-21-552-5099 (Phone)
+55-21-536-9409 (Fax)

David Turchick

Department of Economics, University of São Paulo (FEA-USP) ( email )

Av. Prof. Luciano Gualberto 908
Sao Paulo SP, 05508-900
Brazil

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