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Aggregating Money Demand in Europe with a Divisia Index

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Author Info
Wesche, Katrin

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Abstract

Proponents of an aggregation theoretic approach to money demand argue that simple-sum measures do not capture the theoretical notion of money. This is especially true for broad monetary aggregates, which include components held for savings motives that are only imperfect substitutes for transactions media. Simple-sum monetary aggregates thus are not consistent with microeconomic theory. Monetary aggregation in Europe using indices for monetary services seems attractive because these indices can account for the imperfect substitutability between different currencies. In this paper the aggregation theoretic framework is applied to money holdings of European residents and the resulting index is compared to simple-sum M3.

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File URL: ftp://web.bgse.uni-bonn.de/pub/RePEc/bon/bonsfb/bonsfb392.pdf
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Publisher Info
Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 392.

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Date of creation: Nov 1996
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Handle: RePEc:bon:bonsfb:392

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Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 9221
Web page: http://www.bgse.uni-bonn.de/index.php?id=517

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Related research
Keywords: Divisia index; money demand; European Monetary Union;

Find related papers by JEL classification:
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

References listed on IDEAS
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  1. 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. [Downloadable!] (restricted)
  2. Rotemberg, Julio J & Driscoll, John C & Poterba, James M, 1995. "Money, Output, and Prices: Evidence from a New Monetary Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 67-83, January.
    Other versions:
  3. William A. Barnett & Yi Liu, 1996. "The CAPM-Extended Divisia Monetary Aggregate with Exact Tracking under Risk," Finance 9602001, EconWPA. [Downloadable!]
  4. William Barnett & Barry E. Jones & Travis D. Nesmith, 2008. "Divisia Second Moments: An Application of Stochastic Index Number Theory," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200803, University of Kansas, Department of Economics, revised Jul 2008. [Downloadable!]
    Other versions:
  5. Timothy D. Lane & Paul R. Masson & Marcel Cassard, 1994. "ERM Money Supplies and the Transition to EMU," IMF Working Papers 94/1, International Monetary Fund.
  6. Huw Pill & Mahmood Pradhan, 1994. "Monetary Aggregation: A Reconciliation of Theory and Central Bank Practice," IMF Working Papers 94/118, International Monetary Fund.
  7. Richard G. Anderson & Barry Jones & Travis Nesmith, 1996. "Building new monetary services indices: methodology and source data," Working Papers 1996-008, Federal Reserve Bank of St. Louis. [Downloadable!]
  8. William A. Barnett, 1996. "Which Road Leads to Stable Money Demand?," Macroeconomics 9611001, EconWPA. [Downloadable!]
    Other versions:
  9. Jerome L. Stein, 1994. "Can the central bank achieve price stability?," Proceedings, Federal Reserve Bank of St. Louis, issue Mar, pages 175-203. [Downloadable!]
  10. Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May. [Downloadable!] (restricted)
  11. Daniel L. Thornton & Piyu Yue, 1992. "An extended series of divisia monetary aggregates," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 35-52. [Downloadable!]
  12. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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