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Beyond the Risk Neutral Utility Function

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Author Info

  • William A. Barnett

    (Washington University in St. Louis)

  • Yi Liu

    (University of S. Alabama)

Abstract

This paper contains a survey and overview of the research recently completed by the authors on the extension of Divisia monetary aggregation to include risk aversion.

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File URL: http://128.118.178.162/eps/mac/papers/9602/9602001.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Macroeconomics with number 9602001.

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Length: 22 pages
Date of creation: 13 Feb 1996
Date of revision:
Handle: RePEc:wpa:wuwpma:9602001

Note: Type of Document - Microsoft Word; prepared on Macintosh; to print on PostScript; pages: 22 ; figures: none. We presented this paper at the conference on Divisia Monetary Aggregation held at the University of Mississippi. The paper will appear in the proceedings volume, to be published by Macmillan. The editor of the forthcoming volume is Michael Belongia.
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Web page: http://128.118.178.162

Related research

Keywords: money index risk Divisia aggregation;

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References

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  1. Barnett, William A & Hahm, Jeong Ho, 1994. "Financial-Firm Production of Monetary Services: A Generalized Symmetric Barnett Variable-Profit-Function Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 33-46, January.
  2. James M. Poterba & Julio J. Rotemberg, 1986. "Money in the Utility Function: An Empirical Implementation," Working papers 408, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. William A. Barnett & Yi Liu, 1996. "The CAPM-Extended Divisia Monetary Aggregate with Exact Tracking under Risk," Finance 9602001, EconWPA.
  4. Julio J. Rotemberg & John C. Driscoll & James M. Poterba, 1991. "Money, Output and Prices: Evidence from A New Monetary Aggregate," NBER Working Papers 3824, National Bureau of Economic Research, Inc.
  5. Barnett, William A., 1978. "The user cost of money," Economics Letters, Elsevier, vol. 1(2), pages 145-149.
  6. Barnett, William A & Kirova, Milka & Pasupathy, Meenakshi, 1995. "Estimating Policy-Invariant Deep Parameters in the Financial Sector When Risk and Growth Matter," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1402-29, November.
  7. Feenstra, Robert C., 1986. "Functional equivalence between liquidity costs and the utility of money," Journal of Monetary Economics, Elsevier, vol. 17(2), pages 271-291, March.
  8. William Barnett, 2012. "A Perspective on the Current State of Macroeconomic Theory," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201218, University of Kansas, Department of Economics, revised Sep 2012.
  9. 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.
  10. Barnett, William A. & Hinich, Melvin J. & Weber, Warren E., 1986. "The regulatory wedge between the demand-side and supply-side aggregation-theoretic monetary aggregates," Journal of Econometrics, Elsevier, vol. 33(1-2), pages 165-185.
  11. William A. Barnett & Ge Zhou, 1994. "Financial firm's production and supply-side monetary aggregation under dynamic uncertainty," Proceedings, Federal Reserve Bank of St. Louis, issue Mar, pages 133-165.
  12. William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, EconWPA.
  13. Barnett, William A & Offenbacher, Edward K & Spindt, Paul A, 1984. "The New Divisia Monetary Aggregates," Journal of Political Economy, University of Chicago Press, vol. 92(6), pages 1049-85, December.
  14. Belongia, Michael T, 1996. "Measurement Matters: Recent Results from Monetary Economics Reexamined," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 1065-83, October.
  15. Swofford, James L & Whitney, Gerald A, 1987. "Nonparametric Tests of Utility Maximization and Weak Separability for Consumption, Leisure and Money," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 458-64, August.
  16. K. Alec Chrystal & Ronald MacDonald, 1994. "Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock," Proceedings, Federal Reserve Bank of St. Louis, issue Mar, pages 73-109.
  17. William C. Brainard, 1994. "Financial firm's production and supply-side monetary aggregation under dynamic uncertainty: commentary," Proceedings, Federal Reserve Bank of St. Louis, issue Mar, pages 166-168.
  18. Barnett, William A, 1982. "The Optimal Level of Monetary Aggregation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 14(4), pages 687-710, November.
  19. Barnett, William A & Fisher, Douglas & Serletis, Apostolos, 1992. "Consumer Theory and the Demand for Money," Journal of Economic Literature, American Economic Association, vol. 30(4), pages 2086-2119, December.
  20. Belongia, Michael T & Chalfant, James A, 1989. "The Changing Empirical Definition of Money: Some Estimates from a Model of the Demand for Money Substitutes," Journal of Political Economy, University of Chicago Press, vol. 97(2), pages 387-97, April.
  21. Barnett, William A & Choi, Seungmook, 1989. "A Monte Carlo Study of Tests of Blockwise Weak Separability," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 363-77, July.
  22. Diewert, W E, 1980. "Capital and the Theory of Productivity Measurement," American Economic Review, American Economic Association, vol. 70(2), pages 260-67, May.
  23. William A. Barnett & Melvin Hinich & Piyu Yue, 1989. "Monitoring monetary aggregates under risk aversion," Proceedings, Federal Reserve Bank of St. Louis, pages 189-245.
  24. Drake, Leigh & Chrystal, K Alec, 1994. "Company-Sector Money Demand: New Evidence on the Existence of a Stable Long-Run Relationship for the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(3), pages 479-94, August.
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Citations

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Cited by:
  1. William A. Barnett & Shu Wu, 2004. "On User Costs of Risky Monetary Assets," Macroeconomics 0406009, EconWPA.
  2. William A. Barnett & Shu Wu, 2004. "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Macroeconomics 0406010, EconWPA.
  3. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
  4. Binner, Jane & Elger, Thomas & de Peretti, Philipe, 2002. "Is UK Risky Money Weakly Separable? A Stochastic Approach," Working Papers 2002:13, Lund University, Department of Economics.

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