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A New Empirical Weighted Monetary Aggregate for the UK

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Author Info

  • Drake, Leigh
  • Mills, Terence C

Abstract

This paper utilizes an approach to long-run modelling proposed by Pesaran et al. (1996. Testing for the existence of a long run relationship. Mimeo, University of Cambridge) to develop an empirical weighted broad monetary aggregate for the UK. The properties of this new aggregate are contrasted with those of the corresponding simple sum and Divisia aggregates. The new weighted monetary aggregate is found to be highly stable and conforms well with standard money demand properties. The aggregate also displays sensible impulse response and persistence profiles to monetary shocks in the context of a VECM framework. Finally, the empirical weighted aggregate displays superior information content in respect of nominal income when contrasted with simple sum and Divisia aggregates using a series of St. Louis equations. Copyright @ 2001 by John Wiley & Sons, Ltd. All rights reserved.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 6 (2001)
Issue (Month): 3 (July)
Pages: 217-34

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Handle: RePEc:ijf:ijfiec:v:6:y:2001:i:3:p:217-34

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Web page: http://www.interscience.wiley.com/jpages/1076-9307/

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Cited by:
  1. Jane Binner & Alicia Gazely & Shu-Heng Chen, 2002. "Financial innovation and Divisia monetary indices in Taiwan: a neural network approach," The European Journal of Finance, Taylor & Francis Journals, vol. 8(2), pages 238-247.
  2. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
  3. Leigh Drake & Adrian Fleissig, 2004. "Admissible Monetary Aggregates and UK Inflation Targeting," Money Macro and Finance (MMF) Research Group Conference 2004 2, Money Macro and Finance Research Group.

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