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

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 a...

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Bibliographic Details
Published in:Journal of monetary economics 1990-06, Vol.25 (3), p.431-451
Main Authors: Finn, Mary G., Hoffman, Dennis L., Schlagenhauf, Don E.
Format: Article
Language:English
Subjects:
Asset valuation
Barter
Consumption
Consumption function
Economic models
Economic theory
Money supply
Statistical analysis
Stock prices
Studies
Treasury bills
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Summary: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.
ISSN:0304-3932
1873-1295
DOI:10.1016/0304-3932(90)90062-9