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Revisions to user costs for the Federal Reserve Bank of St. Louis monetary services indices

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Author Info

  • Richard G. Anderson
  • Jason Buol

Abstract

This analysis discusses recent changes to the user cost figures that are computed as part of the Federal Reserve Bank of St. Louis monetary services indices (MSI). The authors first introduce an alternative splicing procedure, robust to differences in scale between series, for those price subindices which, individually, have a time span shorter than the overall MSI but are spliced to span the entire period. They then correct an error in the calculation of user costs for money market mutual funds that caused these funds' user costs to be based, for a considerable period of time, on the last-reported value for one input data series. Finally, the authors also restore the yield-curve adjustment for composite assets, which they removed from published data during 2004 as they explored the unusual behavior of the user cost data for small-denomination time deposits.

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File URL: http://research.stlouisfed.org/publications/review/05/11/AndersonBuol.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (2005)
Issue (Month): Nov ()
Pages: 735-50

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Handle: RePEc:fip:fedlrv:y:2005:i:nov:p:735-50:n:v.87no.6

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Keywords: Federal Reserve Bank of St. Louis ; Monetary theory;

References

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  1. Hill, Robert J & Fox, Kevin J, 1997. "Splicing Index Numbers," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 387-89, July.
  2. repec:cup:macdyn:v:1:y:1997:i:2:p:485-512 is not listed on IDEAS
  3. W. Erwin Diewert, 1995. "Axiomatic and Economic Approaches to Elementary Price Indexes," NBER Working Papers 5104, National Bureau of Economic Research, Inc.
  4. Richard G. Anderson & Kenneth A. Kavajecz, 1994. "A historical perspective on the Federal Reserve's monetary aggregates: definition, construction and targeting," Proceedings, Federal Reserve Bank of St. Louis, issue Mar, pages 1-31.
  5. William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, EconWPA.
  6. William Barnett & Shu Wu, 2004. "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200404, University of Kansas, Department of Economics, revised Jun 2004.
  7. Richard G. Anderson & Kenneth A. Kavajecz, 1994. "A historical perspective on the Federal Reserve's monetary aggregates: definition, construction and targeting," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 1-31.
  8. Diewert, W E, 1974. "Intertemporal Consumer Theory and the Demand for Durables," Econometrica, Econometric Society, vol. 42(3), pages 497-516, May.
  9. Barnett, William A. & Liu, Yi & Jensen, Mark, 1997. "Capm Risk Adjustment For Exact Aggregation Over Financial Assets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(02), pages 485-512, June.
  10. Barnett, William & Offenbacher, Edward & Spindt, Paul, 1981. "New Concepts of Aggregated Money," Journal of Finance, American Finance Association, vol. 36(2), pages 497-505, May.
  11. Barnett, William A., 1980. "Economic monetary aggregates an application of index number and aggregation theory," Journal of Econometrics, Elsevier, vol. 14(1), pages 11-48, September.
  12. Richard G. Anderson & Barry Jones & Travis Nesmith, 1996. "Monetary aggregation theory and statistical index numbers," Working Papers 1996-007, Federal Reserve Bank of St. Louis.
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Citations

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Cited by:
  1. William Barnett & Jia Liu & Ryan Mattson & Jeff Noort, 2013. "The New CFS Divisia Monetary Aggregates: Design, Construction, and Data Sources," Open Economies Review, Springer, vol. 24(1), pages 101-124, February.
  2. Richard G. Anderson & Barry Jones, 2011. "A comprehensive revision of the U.S. monetary services (divisia) indexes," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 325-360.
  3. Serletis, Apostolos & Uritskaya, Olga Y., 2007. "Detecting signatures of stochastic self-organization in US money and velocity measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(1), pages 281-291.
  4. Elger, Thomas & Jones, Barry E. & Nilsson, Birger, 2006. "Forecasting with Monetary Aggregates: Recent Evidence for the United States," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 428-446.

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