E41 - Demand for MoneyNávrat zpět

Paper deals with an important area of monetary economics, the demand for money. Concretely we propose results from an empirical investigation of determinants of the demand for real money balances in the Czech Republic. From the methodological point of view we use models of multivariate time series analysis in the co-integrated context, the VAR and VEC models, and the generalized impulse response functions for an estimation of trajectories of adjustment processes. Based on the results, we can say that the real money balances in the broader definition (in the sense of M2 monetary aggregate) are demanded by economic agents in relation to a long-run evolution of their needs, and during this, they are not systematically influenced by economic shocks. This also implies stability and simple predictability of the demand. Demand in the narrow sense, including currency and demand deposits, exhibits a greater volatility due to different shocks. Therefore this narrow demand is continuously adjusted to arising disequilibriums, going from both inside and outside of the economy. Nevertheless in the long run there exists an equilibrium relationship among the demand for real money balances in the narrow sense, the interest rate, the real effective exchange rate and the rate of unemployment. Majority of observed relationships is consistent with a priori assumptions, which are formulated through a theoretical model. Finally, it is possible to show, that direct long-run equilibrium relationship between the demand for real money balances in the narrow sense and the volume of transactions (or real production) does not exist. On the contrary, we have also found that a transactions demand is influenced by the business cycle. However the elasticity of transactions demand with respect to the business cycle is relatively small and hence we conclude that a considerable part of this demand is constant over time and a speculative demand is more important for the description of the demand for real money balances development. The difference between a behavior of the demand for real money balances in the narrow and in the broader definition, we are explaining by a portfolio re-optimization effect.

The income elasticity of money demand is one of the most frequently estimated parameters in economics, but the individual estimates of the elasticity vary a lot. In this paper we present a quantitative survey of the literature estimating this parameter. We collect previous empirical estimates of the elasticity from many studies and analyze why the estimated elasticities differ so much. We test whether the literature is affected by the so-called publication selection bias; that is, if estimates consistent with mainstream theories tend to be published more often. Moreover, we analyze whether the reported estimates of the elasticity differ systematically across countries, estimation methods, and time periods.

The article deals with monetary disequilibrium in the theory of endogenous money. In new consensus economics, monetary disequilibrium is not considered whereas money is endogenous and passive. In post-Keynesian economics, there is an explicit discussion about reconciliation of money demand and supply. Based on careful distinction between money and credit markets, it is argued that monetary disequilibrium can occur even when money is endogenous and therefore money is endogenous and active. This is because of  insufficiency of reflux mechanism. The article suggests ways in which new consensus should be supplemented to incorporate this issue. This is also important for monetary policy otherwise a part of transmission mechanism is left out.

The co-integration of time series indicates the presence of their common trends. For analytical purpose it is important to transform some time series into gap form. This transformation can be received as a difference between the time series and the common trends. The model of demand for money in Czech Republic created by real M2, real GDP and 1R PRIBOR time series contains two common trends. These trends are estimated from the state space form of unobservable components model. The gap transformations of real M2 and real GDP series can be used for identification of inflation risks. The relatively high correlation was found between gap form of M2 and rate of inflation. The relationship between gap form of GDP and rate of inflation is not so close.

The ECB concept of analysis of deviation of actual money stock development from its long run equilibrium development is based on the assumption that bigger deviation signalizes risks for the price stability. The ECB considers three measures of this deviation: nominal money gap, real money gap and monetary overhang/shortfall. The calculation of gap between the actual and the equilibrium development of money stock in nominal and real expression is not reasonable at the present time in Czech Republic. The calculation of monetary overhang/shortfall, which is based on the long run equilibrium value of money stock given by model of money demand, seems to be more employable.

The post-Keynesian approach to the nature of money brings some other conclusion to the monetary policy, independence of a central bank and function of commercial banks. The source money is created by demand of businessmen especially. Loans create deposits, deposits create reserves. Central bank plays two roles: lender of last resort and inflation supervisor. Creditting by commercial banks and their credit policy in post-Keynesian economics is considered as credit rationing. If the role of central bank - lender of last resort - is not connected with changes of regulation, which reduce new practice of financial markets to avoid regulation, the influence of central bank to fight with inflation declines. Post-Keynesian economics is not directed against competence and independence of central bank. On the contrary, it welcomes the more direct influence of central bank on commercial banks and other financial institutions, however, with use of alternative limiting facilities.