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The UK Household Sector Demand for Risky Money

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Author Info
Thomas Elger (Lund University)
Jane Binner (Aston University)

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Abstract

We compare the empirical performance of a capital certain monetary services index and an index that is extended to contain assets with substantial interest rate risk, such as unit trusts, within a cointegration money demand framework for the UK. Technological changes and innovations have increased the liquidity of risky assets and recent developments in monetary aggregation theory have made it possible to account for interest rate risk in combination with risk aversion in the construction of monetary services indices. Coefficient estimates for all systems are consistent with theory and remarkably stable. No apparent gains are noted, however, by the inclusion of 'risky' assets.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Topics in Macroeconomics.

Volume (Year): 4 (2004)
Issue (Month): 1 ()
Pages: 1136-1136
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Handle: RePEc:bep:mactop:v:4:y:2004:i:1:p:1136-1136

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Related research
Keywords: Money Demand Monetary Aggregation Risk

Find related papers by JEL classification:
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Binner, Jane M & Fielding, Antony & Mullineux, A W, 1999. "Divisia Money in a Composite Leading Indicator of Inflation," Applied Economics, Taylor and Francis Journals, vol. 31(8), pages 1021-31, August. [Downloadable!] (restricted)
  2. Drake, Leigh, 1996. "Relative Prices in the UK Personal Sector Money Demand Function," Economic Journal, Royal Economic Society, vol. 106(438), pages 1209-26, September. [Downloadable!] (restricted)
  3. Jurgen A Doornik & Henrik Hansen, . "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  4. William Barnett, 2005. "Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200510, University of Kansas, Department of Economics, revised Mar 2005. [Downloadable!]
    Other versions:
  5. Belongia, Michael T, 1996. "Measurement Matters: Recent Results from Monetary Economics Reexamined," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 1065-83, October. [Downloadable!] (restricted)
  6. Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Alicia Gazely & Jane Binner & Graham Kendall, 2004. "Co-evolution vs. Neural Networks; An Evaluation of UK Risky Money," Computing in Economics and Finance 2004 258, Society for Computational Economics. [Downloadable!]
  2. J. M. Binner & R. K. Bissoondeeal & A. W. Mullineux, 2005. "A composite leading indicator of the inflation cycle for the Euro area," Applied Economics, Taylor and Francis Journals, vol. 37(11), pages 1257-1266, June. [Downloadable!] (restricted)
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