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Measuring the Economic Stock of Money

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Author Info
Kelly, Logan

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Abstract

Aggregation theoretic measures of the economic stock of money (ESM) have been criticized for their dependence on future expectations. I answer some of those objections by using several forecasting methods to generate the expectations needed for calculating the ESM. I find that targeted factor model forecasting improves the accuracy of the measurement of the ESM but also that measurement of the ESM is robust to assumptions about future expectation. These findings suggest that concerns about the dependency of theoretical monetary stock aggregates on forecasted future expectations may have been overstated.

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File URL: http://mpra.ub.uni-muenchen.de/4914/
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File URL: http://mpra.ub.uni-muenchen.de/5528/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 4914.

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Date of creation: 01 Nov 2007
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Handle: RePEc:pra:mprapa:4914

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Related research
Keywords: Monetary Aggregation Money Stock Economic Stock of Money Targeted Factor Models

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Find related papers by JEL classification:
E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other
C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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References listed on IDEAS
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  1. William Barnett, 2005. "Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200510, University of Kansas, Department of Economics, revised Mar 2005. [Downloadable!]
    Other versions:
  2. William Barnett & Unja Chae & John Keating, 2005. "Forecast Design in Monetary Capital Stock Measurement," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200516, University of Kansas, Department of Economics, revised Aug 2005. [Downloadable!]
    Other versions:
  3. Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, vol. 127(1), pages 169-194, May. [Downloadable!] (restricted)
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  4. Pesando, James E, 1979. "On the Random Walk Characteristics of Short- and Long-Term Interest Rates in an Efficient Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(4), pages 457-66, November. [Downloadable!] (restricted)
  5. Barnett, William A. & Liu, Yi & Jensen, Mark, 2005. "Capm Risk Adjustment For Exact Aggregation Over Financial Assets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(02), pages 485-512, March. [Downloadable!]
  6. Sargent, Thomas J, 1976. "A Classical Macroeconometric Model for the United States," Journal of Political Economy, University of Chicago Press, vol. 84(2), pages 207-37, April. [Downloadable!] (restricted)
  7. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October. [Downloadable!] (restricted)
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  8. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
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  9. Elliott, J Walter & Baier, Jerome R, 1979. "Econometric Models and Current Interest Rates: How Well Do They Predict Future Rates?," Journal of Finance, American Finance Association, vol. 34(4), pages 975-86, September. [Downloadable!] (restricted)
  10. repec:cup:macdyn:v:1:y:1997:i:2:p:485-512 is not listed on IDEAS
  11. Bai, Jushan & Ng, Serena, 2006. "Evaluating latent and observed factors in macroeconomics and finance," Journal of Econometrics, Elsevier, vol. 127(1-2), pages 507-537. [Downloadable!] (restricted)
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  12. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January. [Downloadable!] (restricted)
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