Revisions to user costs for the Federal Reserve Bank of St. Louis monetary services indices
This analysis discusses recent changes to the user cost figures that are computed as part of the Federal Reserve Bank of St. Louis monetary services indices (MSI). The authors first introduce an alternative splicing procedure, robust to differences in scale between series, for those price subindices which, individually, have a time span shorter than the overall MSI but are spliced to span the entire period. They then correct an error in the calculation of user costs for money market mutual funds that caused these funds' user costs to be based, for a considerable period of time, on the last-reported value for one input data series. Finally, the authors also restore the yield-curve adjustment for composite assets, which they removed from published data during 2004 as they explored the unusual behavior of the user cost data for small-denomination time deposits.
Volume (Year): (2005)
Issue (Month): Nov ()
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References listed on IDEAS
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- 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.
- William Barnett, 2005.
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
200510, University of Kansas, Department of Economics, revised Mar 2005.
- Hill, Robert J & Fox, Kevin J, 1997.
"Splicing Index Numbers,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 15(3), pages 387-89, July.
- William A. Barnett & Shu Wu, 2005.
"On user costs of risky monetary assets,"
Annals of Finance,
Springer, vol. 1(1), pages 35-50, 01.
- William Barnett & Shu Wu, 2004. "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200404, University of Kansas, Department of Economics, revised Jun 2004.
- William A. Barnett & Shu Wu, 2004. "On User Costs of Risky Monetary Assets," Macroeconomics 0406009, EconWPA.
- Richard G. Anderson & Barry E. Jones & Travis D. Nesmith, 1996. "Monetary aggregation theory and statistical index numbers," Working Papers 1996-007, Federal Reserve Bank of St. Louis.
- W. Erwin Diewert, 1995. "Axiomatic and Economic Approaches to Elementary Price Indexes," NBER Working Papers 5104, National Bureau of Economic Research, Inc.
- Diewert, W E, 1974. "Intertemporal Consumer Theory and the Demand for Durables," Econometrica, Econometric Society, vol. 42(3), pages 497-516, May.
- Barnett, William & Offenbacher, Edward & Spindt, Paul, 1981. "New Concepts of Aggregated Money," Journal of Finance, American Finance Association, vol. 36(2), pages 497-505, May.
- Richard G. Anderson & Kenneth A. Kavajecz, 1994. "A historical perspective on the Federal Reserve's monetary aggregates: definition, construction and targeting," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 1-31.
- 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.
- Richard G. Anderson & Kenneth A. Kavajecz, 1994. "A historical perspective on the Federal Reserve's monetary aggregates: definition, construction and targeting," Proceedings, Federal Reserve Bank of St. Louis, issue Mar, pages 1-31.
- repec:cup:macdyn:v:1:y:1997:i:2:p:485-512 is not listed on IDEAS
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