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Intertemporally Non-Separable Monetaryasset Risk Adjustment And Aggregation

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  • William Barnett

    (Department of Economics, The University of Kansas)

  • Shu Wu

    (Department of Economics, The University of Kansas)

Abstract

Modern aggregation theory and index number theory were introduced into monetary economics by Barnett (1980). The widely used Divisia monetary aggregates were based upon that paper. A key result upon which the rest of the theory depended was Barnett¡¯s derivation of the user-cost price of monetary assets. To make that critical part of Barnett¡¯s results available prior to publication of that paper in the Journal of Econometrics, Barnett repeated that proof two years earlier in Economics Letters. Both papers have become seminal to the subsequent literature on monetary asset quantity and user cost aggregation. The extension of that literature to risk with intertemporally non-separable preferences now has become available in a working paper by Barnett and Wu (2004), and that paper will appear in volume 1, number 1 of the new journal, Annals of Finance. We are making available the key results from that paper below, without the proofs, which will be available in the longer paper.

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File URL: http://www.ku.edu/~bgju/2004Papers/200405Barnett-Wu.pdf
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Bibliographic Info

Paper provided by University of Kansas, Department of Economics in its series WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS with number 200405.

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Length: 9 pages
Date of creation: Jun 2004
Date of revision: Jun 2004
Handle: RePEc:kan:wpaper:200405

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Keywords: User costs; Monetary Aggregation; Risk; Pricing kernel; CAPM;

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References

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  1. William Barnett & Yi Liu, 2012. "Beyond the Risk Neutral Utility Function," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201216, University of Kansas, Department of Economics, revised Sep 2012.
  2. William A. Barnett & Shu Wu, 2004. "On User Costs of Risky Monetary Assets," Macroeconomics 0406009, EconWPA.
  3. repec:cup:macdyn:v:4:y:2000:i:2:p:197-221 is not listed on IDEAS
  4. William Barnett & Apostolos Serletis & W. Erwin Diewert, 2005. "The Theory of Monetary Aggregation (book front matter)," Macroeconomics 0511008, EconWPA.
  5. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
  6. William A. Barnett & Melvin J. Hinich & Piyu Yue, . "The Exact Theoretical Rational Expectations Monetary Aggregate," Macroeconomics 0003004, EconWPA.
  7. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
  8. Barnett, William A., 2003. "Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous," Working Paper Series 0260, European Central Bank.
  9. William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, EconWPA.
  10. 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.
  11. William A. Barnett & Jane Binner & W. Erwin Diewert, 2005. "Functional Structure and Approximation in Econometrics (book front matter)," Econometrics 0511006, EconWPA.
  12. 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.
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