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Incorporating Riskt Assets in Divita Monetary Aggregates

Author

Listed:
  • Drake, L.
  • Mullineux, A.
  • Agung, J.

Abstract

Capital uncertain or risk assets are typically excluded from traditional broad monetary aggregates. Barnett et al (1997), however, extend the Divisia aggregation methodology to incorporate such assets. In addition, recent evidence provided by Drake et al (1998) auggests that risky assets are close substitutes for monetary assets. This paper constructs 'wide' Divisia monetary aggregates which include risky assets such as unit trusts (mutual funds), equities and bonds, and contrasts their empirical properties with conventional Divisia and simple sum broad money aggregates.

Suggested Citation

  • Drake, L. & Mullineux, A. & Agung, J., 1998. "Incorporating Riskt Assets in Divita Monetary Aggregates," Discussion Papers 98-25, Department of Economics, University of Birmingham.
  • Handle: RePEc:bir:birmec:98-25
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    Citations

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    Cited by:

    1. Alicia Gazely & Jane Binner & Graham Kendall, 2004. "Co-evolution vs. Neural Networks; An Evaluation of UK Risky Money," Computing in Economics and Finance 2004 258, Society for Computational Economics.
    2. 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.

    More about this item

    Keywords

    CAPITAL MARKET ; RISK;

    JEL classification:

    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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