TY - JOUR
T1 - Sweep programs
T2 - The fall of M1 and rebirth of the medium of exchange
AU - Dutkowsky, Donald H.
AU - Cynamon, Barry Z.
PY - 2003/4
Y1 - 2003/4
N2 - This paper investigates the effect of sweep programs on M1 using dynamic simulations of money demand over 1994-2000. The postsample period constitutes when sweep programs have been in effect. All models generate predictions systematically above reported M1. Using data on newly initiated programs, test findings indicate that sweeps account for the overprediction within the conventional money demand model with a long-term interest rate. We construct a medium of exchange measure, MIS, equal to Ml plus estimated holdings of sweep balances. MIS velocity compares favorably with that of broader aggregates. Evidence indicates cointegration within MIS money demand.
AB - This paper investigates the effect of sweep programs on M1 using dynamic simulations of money demand over 1994-2000. The postsample period constitutes when sweep programs have been in effect. All models generate predictions systematically above reported M1. Using data on newly initiated programs, test findings indicate that sweeps account for the overprediction within the conventional money demand model with a long-term interest rate. We construct a medium of exchange measure, MIS, equal to Ml plus estimated holdings of sweep balances. MIS velocity compares favorably with that of broader aggregates. Evidence indicates cointegration within MIS money demand.
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U2 - 10.1353/mcb.2003.0011
DO - 10.1353/mcb.2003.0011
M3 - Article
AN - SCOPUS:0037389526
SN - 0022-2879
VL - 35
SP - 263
EP - 279
JO - Journal of Money, Credit and Banking
JF - Journal of Money, Credit and Banking
IS - 2
ER -