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Is UK Risky Money Weakly Separable? A Stochastic Approach

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Author Info

  • Binner, Jane

    ()
    (Sheffield University)

  • Elger, Thomas

    (Department of Economics, Lund University)

  • de Peretti, Philipe

    (Université de Paris 1)

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    Abstract

    Using non-parametric weak separability tests that are extended to allow for measurement errors in the data, a broad group of UK monetary assets is found to be weakly separable from consumer goods and leisure over the larger part of the nineties. Financial innovations have made assets with substantial interest rate risk (e.g. unit trusts) more liquid and recent developments in monetary aggregation theory dealt with risk and risk aversion in the calculation of user costs. It is, however, not possible to find any weakly separable group of assets that contains ‘risky’ assets in the current sample.

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    File URL: http://project.nek.lu.se/publications/workpap/Papers/WP02_13.pdf
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    Bibliographic Info

    Paper provided by Lund University, Department of Economics in its series Working Papers with number 2002:13.

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    Length: 29 pages
    Date of creation: 30 Apr 2002
    Date of revision:
    Handle: RePEc:hhs:lunewp:2002_013

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    Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden
    Phone: +46 +46 222 0000
    Fax: +46 +46 2224613
    Web page: http://www.nek.lu.se/en
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    Keywords: Monetary Aggregation; Weak Separability; Risk;

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    References

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    Cited by:
    1. Elger, Thomas, 2002. "The Demand for Monetary Assets in the UK; a Locally Flexible Demand System Analysis," Working Papers, Lund University, Department of Economics 2002:6, Lund University, Department of Economics.

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