William A. Barnett (Washington University in St. Louis) Yi Liu (University of South Alabama) Haiyang Xu (Monash University) Mark Jensen (Southern Illinois University at Carbondale)
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This cumulative working paper contains the unified joint research completed so far on monetary aggregation under risk, including the extension of index number theory needed to incorporate adjustments for risk into the rate structure, experiments on tracking ability of the unadjusted index, and results on velocity instability when the risk adjustment is ignored and velocity instability is induced by overlooked stochastic volatility of interest rates. The paper was presented at the September 1995 Conference on Computation and Estimation in Finance and Economics, held at Washington University and organized by William Barnett, Lars Hansen, and George Tauchen. The conference proceedings will be published by Cambridge University Press.
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Paper provided by EconWPA in its series Econometrics with number
9602003.
Length: 46 pages Date of creation: 13 Feb 1996 Date of revision: Handle: RePEc:wpa:wuwpem:9602003
Note: Type of Document - Microsoft Word; prepared on Macintosh; to print on PostScript; pages: 46 ; figures: request from authors. See Contact details of provider: Web page: http://129.3.20.41
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