Conclusion
The role of money as a buffer stock has been widely debated in the recent literature. One strand of this hypothesis is the view that money supply shocks are temporarily held as additional money balances. This mechanism mitigates the degree of (interest rate) overshooting when conventional demand functions are inverted under the assumption of independent movement in the money supply. We used a structural time series model due to Harvey and Todd [1983] to generate a series for anticipated money. The advantages of this procedure are, firstly, that it implies forecasting behaviour on the part of economic agents which may be more plausible than that implied by the use of a more specific ARIMA model and, secondly, that problems of appropriate model selection are avoided. Using U.K. data on Ml and a stable money demand specification belonging to a widely used class of functions, we find support for the Carr-Darby hypothesis. That is, we find that unanticipated changes in the money supply are partially taken up in additional money balances, whereas expected changes do not influence real money balances. This finding has clear implications for the appropriate conduct of monetary policy.
Zusammenfassung
Monetäre Erwartungen und Geldnachfrage: Ein empirischer Nachweis für das Vereinigte Königreich. - Die Buffer-Stock-Hypothese von Carr-Darby, nach der lediglich unerwartete Veränderungen der Geldversorgung die Nachfrage nach realer Kasse beeinflussen, wird mit Hilfe von britischen Daten für Geld im engeren Sinne (M1) getestet. Benutzt werden ein strukturelles Zeitreihenmodell gemäß Harvey und Todd, um Reihen von Erwartungswerten zu gewinnen, und eine Geldnachfragespezifizierung von der Art, die Hendry und andere vorgeschlagen haben. Die Ergebnisse stützen die Carr-Darby-Hypothese.
Résumé
Anticipations monétaires et la demande de monnaie: Quelque évidence pour le R.U. - Les auteurs testent l’hypothèse de stocks régulateurs de Carr-Darby avec des données de R.U. pour la monnaie de sens étroit (M1), c.-a.-d. l’hypothèse que les changements pas anticipés en disponibilités monétaires influencent la demande des balances de monnaie réelle, mais que les changements anticipés ne l’influencent pas. Ils appliquent un modèle structurel des séries chronologiques à la Harvey et Todd pour produire des séries d’anticipations et la spécification de la demande de monnaie proposée par Hendry. Les résultats supportent bien l’hypothèse de Carr-Darby.
Resumen
Anticipos monetarios y la demanda de dinero: alguna evidencia para el Reino Unido. - La tesis “buffer stock” de Carr y Darby que cambios no anticipados en la oferta de dinero influencian la demanda de dinero, mientras que cambios anticipados no la influencian, es sometida a un test utilizando datos de la M1 para el Reino Unido. Se emplea un modelo estructural de series de tiempo de Harvey y Todd para generar la série anticipada y un modelo de demanda monetaria especificado segün Hendry y otros. Los resultados corroboran la tesis de Carr y Darby.
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Cuthbertson, K., Taylor, M.P. Monetary anticipations and the demand for money: Some evidence for the U.K.. Weltwirtschaftliches Archiv 123, 509–520 (1987). https://doi.org/10.1007/BF02707759
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DOI: https://doi.org/10.1007/BF02707759