摘要：The purpose of this paper is to estimate elasticities of scale in the demand for
money by firms using firm level panel data. In common with the recent literature, we
use disaggregate data to overcome the identification problems in aggregate time series
approaches. Our main dataset is a sample of Spanish companies that are observed for
the period 1983-1996, although we also analyse comparable datasets for the UK and
the US. As measures of scale we consider both firm sales and firm output.
We find that the errors in the money demand equations contain two terms that
are correlated with sales. Firstly, a permanent firm effect that may capture differences
in managerial efficiency, efficiency wages, technological sophistication. Secondly, a
measurement error in sales, probably due to the fact that cash holdings are end-ofperiod
whereas sales are annual measures. We show that failure to control for these
correlated unobservable terms results in important biases in the estimated sales
elasticities.
The sale elasticity estimates from the Spanish sample increase from 0.6 to 0.99
when correlated fixed effects and measurement error are jointly considered. In addition,
our estimates indicate declining sales elasticity from the mid-1980’s to mid 1990’s, a
period of increasing financial innovations. This result suggests that financial
innovations tend to reduce money demand mainly by reducing the sales elasticity. For
the US and the UK we find constant sales elasticities over the period considered with
values of 0.71 for the US and 0.96 for the UK.
While the main focus of the paper is the estimation of sales elasticities we also
estimate interest rate elasticities of the demand for money, using both aggregate and
firm specific interest rates.
