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1、FinancialInnovationandtheTransactionsDemandforCash¤FernandoAlvarezFrancescoLippiyzUniversityofChicagoandNBERUniversityofSassariandCEPRSeptember2007AbstractWedocumentcashmanagementpatternsforhouseholdsthatareatoddswiththepredictionsofdeterministicinventorymodelsthatabs
2、tractfrompre-cautionarymotives.WeextendtheBaumol-Tobincashinventorymodeltoadynamicenvironmentthatallowsforthepossibilityofwithdrawingcashatrandomtimesatalowcost.Thismodi¯cationintroducesaprecautionarymotiveforholdingcashandnaturallycapturesdevelopmentsinwithdrawaltech
3、nology,suchastheincreasingdi®usionofbankbranchesandATMtermi-nals.Wecharacterizethesolutionofthemodelandshowthatqualitativelyitisabletoreproducetheempiricalpatterns.Estimatingthestructuralpa-rametersweshowthatthemodelquantitativelyaccountsforkeyfeaturesofthedata.Theest
4、imatesareusedtoquantifytheexpenditureandinterestrateelasticityofmoneydemand,theimpactof¯nancialinnovationonmoneydemand,thewelfarecostofin°ation,thegainsofdisin°ationandthebene¯tofATMownership.JELClassi¯cationNumbers:E5KeyWords:moneydemand,technologicalprogress,invento
5、rymodels.¤WethankAlessandroSecchiforhisguidanceintheconstructionandanalysisofthedatabase.Webene¯tedfromthecommentsofManuelArellano,V.V.Chari,BobLucas,GregMankiw,RobShimer,PedroTelesandseminarparticipantsattheUniversityofChicago,UniversityofSassari,HarvardUniversity,FR
6、BofChicago,FRBofMinneapolis,BankofPortugal,ECB,BankofItalyandCEMFI.yUniversityofChicago,1126E.59thSt.,Chicago,IL60637.zEnteEinaudi,viaDueMacelli73,00184Rome,Italy.1IntroductionThereisalargeliteraturearguingthat¯nancialinnovationisimportantforunder-standingmoneydemand,
7、yetseldomthisliteratureintegratestheempiricalanalysiswithanexplicitmodelingofthe¯nancialinnovation.Inthispaperwedevelopady-namicinventorymodelofmoneydemandthatexplicitlyincorporatesthee®ectsof¯nancialinnovationoncashmanagement.Weestimatethestructuralparametersofthemod
8、elusingdetailedmicrodatafromItalianhouseholds,andusetheestimatestorevisitseveralclassicquestionsonmoneydemand.Asstandardinth
