IDEAS home Printed from https://ideas.repec.org/p/kan/wpaper/201216.html
   My bibliography  Save this paper

Beyond the Risk Neutral Utility Function

Author

Listed:
  • William Barnett

    (Department of Economics, The University of Kansas)

  • Yi Liu

    (Washington University in St.Louis)

Abstract

This paper contains a survey and overview of the research recently completed by the authors on the extension of Divisia monetary aggregation to include risk aversion.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • William Barnett & Yi Liu, 2012. "Beyond the Risk Neutral Utility Function," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201216, University of Kansas, Department of Economics, revised Sep 2012.
  • Handle: RePEc:kan:wpaper:201216
    as

    Download full text from publisher

    File URL: http://www2.ku.edu/~kuwpaper/2009Papers/201216.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Barnett, William A & Hahm, Jeong Ho, 1994. "Financial-Firm Production of Monetary Services: A Generalized Symmetric Barnett Variable-Profit-Function Approach," Journal of Business & Economic Statistics, American Statistical Association, pages 33-46.
    2. James M. Poterba & Julio J. Rotemberg, 1986. "Money in the Utility Function: An Empirical Implementation," Working papers 408, Massachusetts Institute of Technology (MIT), Department of Economics.
    3. William A. Barnett & Douglas Fisher & Apostolos Serletis, 2006. "Consumer Theory and the Demand for Money," World Scientific Book Chapters,in: Money And The Economy, chapter 1, pages 3-43 World Scientific Publishing Co. Pte. Ltd..
    4. K. Alec Chrystal & Ronald MacDonald, 1994. "Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock," Review, Federal Reserve Bank of St. Louis, pages 73-109.
    5. 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, pages 73-109.
    6. Belongia, Michael T, 1996. "Measurement Matters: Recent Results from Monetary Economics Reexamined," Journal of Political Economy, University of Chicago Press, pages 1065-1083.
    7. William A. Barnett, 1996. "A Perspective on the Current State of Macroeconomic Theory," Macroeconomics 9602003, EconWPA.
    8. William C. Brainard, 1994. "Financial firm's production and supply-side monetary aggregation under dynamic uncertainty: commentary," Proceedings, Federal Reserve Bank of St. Louis, pages 166-168.
    9. 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, pages 67-83.
    10. Belongia, Michael T & Chalfant, James A, 1989. "The Changing Empirical Definition of Money: Some Estimates from a Model of the Demand for Money Substitutes," Journal of Political Economy, University of Chicago Press, pages 387-397.
    11. Barnett, William A & Choi, Seungmook, 1989. "A Monte Carlo Study of Tests of Blockwise Weak Separability," Journal of Business & Economic Statistics, American Statistical Association, pages 363-377.
    12. William A. Barnett & Yi Liu, 1996. "The CAPM-Extended Divisia Monetary Aggregate with Exact Tracking under Risk," Finance 9602001, EconWPA.
    13. William A. Barnett & Ge Zhou, 1994. "Financial firm's production and supply-side monetary aggregation under dynamic uncertainty," Proceedings, Federal Reserve Bank of St. Louis, pages 133-165.
    14. 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, pages 67-83.
    15. William A. Barnett & Melvin Hinich & Piyu Yue, 1989. "Monitoring monetary aggregates under risk aversion," Proceedings, Federal Reserve Bank of St. Louis, pages 189-245.
    16. William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, EconWPA.
    17. Feenstra, Robert C., 1986. "Functional equivalence between liquidity costs and the utility of money," Journal of Monetary Economics, Elsevier, pages 271-291.
    18. Barnett, William A. & Hinich, Melvin J. & Weber, Warren E., 1986. "The regulatory wedge between the demand-side and supply-side aggregation-theoretic monetary aggregates," Journal of Econometrics, Elsevier, pages 165-185.
    19. William A. Barnett & Paul A. Samuelson & E. Roy Weintraub, 2005. "Inside the Economist's Mind: The History of Modern Economic Thought, as Explained by Those Who Produced It," Method and Hist of Econ Thought 0511002, EconWPA.
    20. Barnett, William A., 1980. "Economic monetary aggregates an application of index number and aggregation theory," Journal of Econometrics, Elsevier, pages 11-48.
    21. Drake, Leigh & Chrystal, K Alec, 1994. "Company-Sector Money Demand: New Evidence on the Existence of a Stable Long-Run Relationship for the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(3), pages 479-494, August.
    22. Barnett, William A & Offenbacher, Edward K & Spindt, Paul A, 1984. "The New Divisia Monetary Aggregates," Journal of Political Economy, University of Chicago Press, pages 1049-1085.
    23. 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.
    24. William A. Barnett & Milka Kirova & Meenakshi Pasupathy, 1996. "Technology Modeling: Curvature is not Sufficient for Regularity," Econometrics 9602002, EconWPA, revised 24 Jun 1999.
    25. Barnett, William A & Kirova, Milka & Pasupathy, Meenakshi, 1995. "Estimating Policy-Invariant Deep Parameters in the Financial Sector When Risk and Growth Matter," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1402-1429, November.
    26. Swofford, James L & Whitney, Gerald A, 1987. "Nonparametric Tests of Utility Maximization and Weak Separability for Consumption, Leisure and Money," The Review of Economics and Statistics, MIT Press, pages 458-464.
    27. Barnett, William A., 1978. "The user cost of money," Economics Letters, Elsevier, pages 145-149.
    28. Belongia, Michael T & Chalfant, James A, 1989. "The Changing Empirical Definition of Money: Some Estimates from a Model of the Demand for Money Substitutes," Journal of Political Economy, University of Chicago Press, pages 387-397.
    29. Diewert, W E, 1980. "Capital and the Theory of Productivity Measurement," American Economic Review, American Economic Association, pages 260-267.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. William A. Barnett & Shu Wu, 2011. "On User Costs of Risky Monetary Assets," World Scientific Book Chapters,in: Financial Aggregation And Index Number Theory, chapter 3, pages 85-105 World Scientific Publishing Co. Pte. Ltd..
    2. William Barnett & Shu Wu, 2004. "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Economics Bulletin, AccessEcon, pages 1-9.
    3. William A. Barnett & Shu Wu, 2011. "On User Costs of Risky Monetary Assets," World Scientific Book Chapters,in: Financial Aggregation And Index Number Theory, chapter 3, pages 85-105 World Scientific Publishing Co. Pte. Ltd..
    4. 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.
    5. William Barnett & Shu Wu, 2004. "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Economics Bulletin, AccessEcon, pages 1-9.
    6. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.

    More about this item

    JEL classification:

    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • 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; Dynamic Treatment Effect Models; Diffusion Processes

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kan:wpaper:201216. 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). General contact details of provider: http://edirc.repec.org/data/deuksus.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.