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Estimating Policy-Invariant Technology and Taste Parameters in the Financial Sector, When Risk and Growth Matter

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Author Info
William A. Barnett (Washington University in St. Louis)
Milka Kirova (Washington University in St. Louis)
Meenakshi Pasupathy (Washington University in St. Louis)
Piyu Yue (IC2 Institute at the University of Texas at Austin)

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Abstract

This paper provides an approach to estimation of taste and technology parameters in the financial sector through Euler equation estimation under exact monetary aggregation conditions. This is the original working paper, which produced the more condensed version published in the November 1995 edition of the Journal of Money, Credit and Banking. That special edition of the JMCB contains the proceedings of the Cleveland Federal Reserve Bank September 1994 conference on Liquidity, Monetary Policy, and Financial Intermediation. At the end of this working paper is our submitted reply to the comments of one of the discussants. The journal proceedings volume includes the published comments of that discussant, but not our reply to that discussant (who also is an editor of the journal.....).

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Publisher Info
Paper provided by EconWPA in its series Macroeconomics with number 9602002.

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Length: 73 pages
Date of creation: 13 Feb 1996
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Handle: RePEc:wpa:wuwpma:9602002

Note: Type of Document - Microsoft Word; prepared on Macintosh; to print on PostScript; pages: 73 ; figures: request from authors. See
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Related research
Keywords: Euler Divisia production Lucas critique technology index aggregation money;

Find related papers by JEL classification:
E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

References listed on IDEAS
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  1. 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. [Downloadable!]
  2. Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May. [Downloadable!] (restricted)
  3. James H. Stock & Mark W. Watson, 1988. "A Probability Model of The Coincident Economic Indicators," NBER Working Papers 2772, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. 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. [Downloadable!] (restricted)
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