Toward a Bias Corrected Currency Equivalent Index
Measuring the economic stock of money, defined to be the present value of current and future monetary service flows, is a difficult asset pricing problem, because most monetary assets yield interest. Thus, an interest yielding monetary asset is a joint product: a durable good providing a monetary service flow and a financial asset yielding a return. The currency equilivant index provides an elegant solution, but it does so by making strong assumptions about expectations of future monetary service flows. These assumptions cause the currency equivalent index to exhibit significant downward bias. In this paper, we propose an extension to the currency equivalent index that will correct for a significant amount of this bias.
|Date of creation:||Nov 2007|
|Date of revision:||Nov 2007|
|Contact details of provider:|| Postal: 415 Snow Hall, Lawrence, KS 66045|
Phone: (785) 864-3501
Fax: (785) 864-5270
Web page: http://www2.ku.edu/~kuwpaper/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- William Barnett & Apostolos Serletis & W. Erwin Diewert, 2005. "The Theory of Monetary Aggregation (book front matter)," Macroeconomics 0511008, EconWPA.
- William A. Barnett & Unja Chae & John W. Keating, 2011.
"The Discounted Economic Stock of Money with VAR Forecasting,"
World Scientific Book Chapters,in: Financial Aggregation And Index Number Theory, chapter 4, pages 107-150
World Scientific Publishing Co. Pte. Ltd..
- William Barnett & John Keating & Unja Chae, 2006. "The Discounted Economic Stock of Money with VAR Forecasting," Annals of Finance, Springer, vol. 2(3), pages 229-258, July.
- William Barnett & Unja Chae & John Keating, 2005. "The Discounted Economic Stock of Money with VAR Forecasting," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200515, University of Kansas, Department of Economics, revised Aug 2005.
- William Barnett & Unja Chae & John Keating, 2005. "The Discounted Economic Stock of Money with VAR Forecasting," Macroeconomics 0508021, EconWPA.
- William A. Barnett & Unja Chae & John W. Keating, 2006. "The discounted economic stock of money with VAR forecasting," Computing in Economics and Finance 2006 51, Society for Computational Economics.
- repec:cup:macdyn:v:1:y:1997:i:2:p:485-512 is not listed on IDEAS
- 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.
- 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.
- Rotemberg, J.J. & Driscoll, J.C. & Poterba, J.M., 1991. "Money, Output, and Prices: Evidence from a New Monetary Aggregate," Working papers 585, Massachusetts Institute of Technology (MIT), Department of Economics.
- Moulin, Herve, 1994. "Social choice," Handbook of Game Theory with Economic Applications,in: R.J. Aumann & S. Hart (ed.), Handbook of Game Theory with Economic Applications, edition 1, volume 2, chapter 31, pages 1091-1125 Elsevier.
- William Barnett, 2005. "Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200510, University of Kansas, Department of Economics, revised Mar 2005.
- Olivier Jean Blanchard & Stanley Fischer, 1989. "Lectures on Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262022834.
- 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.
- Maurice Salles, 2005. "Social Choice," Post-Print halshs-00337075, HAL.
- Michael T. Belongia, 1989. "Monetary policy on the 75th anniversary of the Federal Reserve system : proceedings of the fourteenth annual Economic Policy Conference, held on October 19-20, 1989," Proceedings, Federal Reserve Bank of St. Louis.
- Barnett, William A., 1978. "The user cost of money," Economics Letters, Elsevier, vol. 1(2), pages 145-149.
- Michael T. Belongia, 1990. "Monetary policy on the 75th anniversary of the Federal Reserve System: summary of conference proceedings," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 59-65. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:kan:wpaper:200707. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jianbo Zhang)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.