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The Construction of Continuity-Adjusted Monetary Aggregate Components


  • Jeannie Kottaras


Changes in the financial industry result in new data that are inconsistent with the former presentation, and therefore adjustments are required to "adjust" or smooth out these breaks to establish continuity. The author explains the methodology for newly calculated continuity adjustments to components of the monetary aggregates. Continuity adjustments have previously been done only for the aggregates themselves. The author lists the aggregates and their components and shows the adjustments that have been made.

Suggested Citation

  • Jeannie Kottaras, 2003. "The Construction of Continuity-Adjusted Monetary Aggregate Components," Staff Working Papers 03-22, Bank of Canada.
  • Handle: RePEc:bca:bocawp:03-22

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    References listed on IDEAS

    1. William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, EconWPA.
    2. Bailey, R. W. & Driscoll, M. J. & Ford, J. L. & Mullineux, A. W., 1982. "The information content of monetary aggregates in the U.K," Economics Letters, Elsevier, vol. 9(1), pages 61-67.
    3. Rotemberg, Julio J & Driscoll, John C & Poterba, James M, 1995. "Money, Output, and Prices: Evidence from a New Monetary Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 67-83, January.
    4. Forni, Mario & Reichlin, Lucrezia, 1996. "Dynamic Common Factors in Large Cross-Sections," Empirical Economics, Springer, vol. 21(1), pages 27-42.
    5. David Longworth & Joseph Atta-Mensah, 1995. "The Canadian Experience with Weighted Monetary Aggregates," Econometrics 9511001, EconWPA.
    6. René Garcia & Éric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO.
    7. Danny Quah & Thomas J. Sargent, 1993. "A Dynamic Index Model for Large Cross Sections," NBER Chapters,in: Business Cycles, Indicators and Forecasting, pages 285-310 National Bureau of Economic Research, Inc.
    8. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
    9. Scott Hendry, 1995. "Long-Run Demand for M1," Macroeconomics 9511001, EconWPA.
    10. Gregory Connor and Robert Korajczyk., 1987. "Risk and Return in an Equilibrium APT," Research Program in Finance Working Papers 174, University of California at Berkeley.
    11. Jeannie Kottaras, 2003. "The Construction of Continuity-Adjusted Monetary Aggregate Components," Staff Working Papers 03-22, Bank of Canada.
    12. René Garcia & Éric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO.
    13. Spindt, Paul A., 1985. "The rates of turnover of money goods under efficient monetary trade : Implications for monetary aggregation," Economics Letters, Elsevier, vol. 17(1-2), pages 141-143.
    14. Serletis, Apostolos & King, Martin, 1993. "The role of money in Canada," Journal of Macroeconomics, Elsevier, vol. 15(1), pages 91-107.
    15. Paul Fisher & Suzanne Hudson & Mahmood Pradhan, 1993. "Divisia Indices for Money: An Appraisal of Theory and Practice," Bank of England working papers 9, Bank of England.
    16. Paul Gilbert & Lise Pichette, 2002. "Towards New Money Measurers," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 151-181, July-Dece.
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    Cited by:

    1. David Laidler & William B.P. Robson, 2004. "Two Percent Target: The Context, Theory, and Practice of Canadian Monetary Policy since 1991," C.D. Howe Institute Policy Studies, C.D. Howe Institute, number 20041, January.
    2. Paul D. Gilbert & Lise Pichette, 2003. "Dynamic Factor Analysis for Measuring Money," Staff Working Papers 03-21, Bank of Canada.

    More about this item


    Monetary aggregates;

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers


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