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, 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. 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.
    2. 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, vol. 97(2), pages 387-397, April.
    3. William A. Barnett & Yi Liu, 1996. "The CAPM-Extended Divisia Monetary Aggregate with Exact Tracking under Risk," Finance 9602001, University Library of Munich, Germany.
    4. William A. Barnett, 2000. "Economic Monetary Aggregates: An Application of Index Number and Aggregation Theory," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 11-48, Emerald Group Publishing Limited.
    5. Feenstra, Robert C., 1986. "Functional equivalence between liquidity costs and the utility of money," Journal of Monetary Economics, Elsevier, vol. 17(2), pages 271-291, March.
    6. William A. Barnett & Edward K. Offenbacher & Paul A. Spindt, 2000. "The New Divisia Monetary Aggregates," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 360-388, Emerald Group Publishing Limited.
    7. William A. Barnett, 2000. "The Optimal Level of Monetary Aggregation," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 125-149, Emerald Group Publishing Limited.
    8. William A. Barnett & Milka Kirova & Meenakshi Pasupathy, 2000. "Estimating Policy-Invariant Deep Parameters in the Financial Sector When Risk and Growth Matter," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 530-557, Emerald Group Publishing Limited.
    9. 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, vol. 69(3), pages 458-464, August.
    10. William A. Barnett & Ge Zhou, 1994. "Symposium on mutual funds and monetary aggregates - commentary," Proceedings, Federal Reserve Bank of St. Louis, issue Nov, pages 53-78.
    11. William A. Barnett, 2000. "Perspective on the Current State of Macroeconomic Theory," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 593-605, Emerald Group Publishing Limited.
    12. William A. Barnett & Seungmook Choi, 2004. "A Monte Carlo Study of Tests of Blockwise Weak Separability," Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 257-287, Emerald Group Publishing Limited.
    13. William A. Barnett & Ge Zhou, 2004. "Financial Firm's Production and Supply-Side Monetary Aggregation Under Dynamic Uncertainty," Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 381-427, Emerald Group Publishing Limited.
    14. 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, issue Mar, pages 73-109.
    15. William A. Barnett & Melvin J. Hinich & Warren E. Weber, 2000. "The Regulatory Wedge Between the Demand-Side and Supply-Side Aggregation-Theoretic Monetary Aggregates," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 433-453, Emerald Group Publishing Limited.
    16. 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.
    17. 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..
    18. 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.
    19. William A. Barnett & Melvin Hinich & Piyu Yue, 2000. "Monitoring Monetary Aggregates Under Risk Aversion," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 217-244, Emerald Group Publishing Limited.
    20. William A. Barnett & Jeong Ho Hahm, 2004. "Financial Firm Production of Monetary Services: A Generalized Symmetric Barnett Variable Profit Function Approach," Contributions to Economic Analysis, in: Functional Structure and Approximation in Econometrics, pages 351-380, Emerald Group Publishing Limited.
    21. William Barnett, 2005. "Monetary Aggregation," Macroeconomics 0503017, University Library of Munich, Germany.
    22. William A. Barnett, 2000. "The User Cost of Money," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 6-10, Emerald Group Publishing Limited.
    23. PHLIPS, Louis & SPINNEWYN, Frans, 1982. "Rationality versus myopia in dynamic demand systems," LIDAM Reprints CORE 468, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    24. Belongia, Michael T, 1996. "Measurement Matters: Recent Results from Monetary Economics Reexamined," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 1065-1083, October.
    25. William C. Brainard, 1994. "Financial firm's production and supply-side monetary aggregation under dynamic uncertainty: commentary," Proceedings, Federal Reserve Bank of St. Louis, issue Mar, pages 166-168.
    26. Diewert, W E, 1980. "Capital and the Theory of Productivity Measurement," American Economic Review, American Economic Association, vol. 70(2), pages 260-267, May.
    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 & Yi Liu & Haiyang Xu & Mark Jensen, 1996. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," Econometrics 9602003, University Library of Munich, Germany.
    2. Elger, Thomas, 2002. "The Demand for Monetary Assets in the UK; a Locally Flexible Demand System Analysis," Working Papers 2002:6, Lund University, Department of Economics.
    3. Barnett, William A. & Liu, Jinan, 2019. "User cost of credit card services under risk with intertemporal nonseparability," Journal of Financial Stability, Elsevier, vol. 42(C), pages 18-35.
    4. repec:ebl:ecbull:v:5:y:2004:i:13:p:1-9 is not listed on IDEAS
    5. 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..
    6. William Barnett & Shu Wu, 2004. "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Economics Bulletin, AccessEcon, vol. 5(13), pages 1-9.
    7. Elger Thomas & Binner Jane M., 2004. "The UK Household Sector Demand for Risky Money," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-22, March.
    8. Belongia, Michael, 2005. "Where simple sum and Divisia monetary aggregates part: illustrations and evidence for the United States," MPRA Paper 18969, University Library of Munich, Germany, revised Mar 2005.
    9. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
    10. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. William A. Barnett & Milka Kirova & Meenakshi Pasupathy, 1996. "Technology Modeling: Curvature is not Sufficient for Regularity," Econometrics 9602002, University Library of Munich, Germany, revised 24 Jun 1999.
    2. William A. Barnett & Melvin J. Hinich & Piyu Yue, 2011. "The Exact Theoretical Rational Expectations Monetary Aggregate," World Scientific Book Chapters, in: Financial Aggregation And Index Number Theory, chapter 2, pages 53-84, World Scientific Publishing Co. Pte. Ltd..
    3. William A. Barnett, 2000. "Which Road Leads to Stable Money Demand?," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 577-592, Emerald Group Publishing Limited.
    4. Barnett, William A. & Chauvet, Marcelle, 2011. "How better monetary statistics could have signaled the financial crisis," Journal of Econometrics, Elsevier, vol. 161(1), pages 6-23, March.
    5. William Barnett & Barry E. Jones & Milka Kirova & Travis D. Nesmith & Meenakshi Pasupathy1, 2004. "The Nonlinear Skeletons in the Closet," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200403, University of Kansas, Department of Economics, revised May 2004.
    6. William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 1996. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," Econometrics 9602003, University Library of Munich, Germany.
    7. William A. Barnett & Marcelle Chauvet, 2011. "International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview," World Scientific Book Chapters, in: Financial Aggregation And Index Number Theory, chapter 1, pages 1-51, World Scientific Publishing Co. Pte. Ltd..
    8. William A. Barnett & Yi Liu, 1996. "The CAPM-Extended Divisia Monetary Aggregate with Exact Tracking under Risk," Finance 9602001, University Library of Munich, Germany.
    9. Drake, Leigh & Fleissig, Adrian R., 2010. "Substitution between monetary assets and consumer goods: New evidence on the monetary transmission mechanism," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2811-2821, November.
    10. Binner, Jane M. & Bissoondeeal, Rakesh K. & Elger, C. Thomas & Jones, Barry E. & Mullineux, Andrew W., 2009. "Admissible monetary aggregates for the euro area," Journal of International Money and Finance, Elsevier, vol. 28(1), pages 99-114, February.
    11. Ryan S. Mattson & Philippe de Peretti, 2014. "Investigating the Role of Real Divisia Money in Persistence-Robust Econometric Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00984827, HAL.
    12. Jones, Barry E. & Dutkowsky, Donald H. & Elger, Thomas, 2005. "Sweep programs and optimal monetary aggregation," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 483-508, February.
    13. William Barnett, 2013. "Friedman and Divisia Monetary Measures," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201312, University of Kansas, Department of Economics, revised Dec 2013.
    14. Ryadh M. Alkhareif & William A. Barnett, 2012. "Divisia Monetary Aggregates for the GCC Countries," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications, pages 1-37, Emerald Group Publishing Limited.
    15. Binner, Jane M. & Chaudhry, Sajid & Kelly, Logan & Swofford, James L., 2018. "“Risky” monetary aggregates for the UK and US," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 127-138.
    16. William Barnett & Meenakshi Pasupathy, 2003. "Regularity of the Generalized Quadratic Production Model: A Counterexample," Econometric Reviews, Taylor & Francis Journals, vol. 22(2), pages 135-154.
    17. Barnett, William A. & Ghosh, Taniya & Adil, Masudul Hasan, 2022. "Is money demand really unstable? Evidence from Divisia monetary aggregates," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 606-622.
    18. William Barnett & Liting Su, 2014. "The Joint Services of Money and Credit," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201407, University of Kansas, Department of Economics, revised Dec 2014.
    19. Duca, John V. & VanHoose, David D., 2004. "Recent developments in understanding the demand for money," Journal of Economics and Business, Elsevier, vol. 56(4), pages 247-272.
    20. Elger, Thomas & Jones, Barry & Edgerton, David & Binner, Jane, 2004. "The Optimal Level of Monetary Aggregation in the UK," Working Papers 2004:7, Lund University, Department of Economics, revised 26 Jan 2005.

    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.

    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 bibliographic 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Professor Zongwu Cai (email available below). General contact details of provider: https://edirc.repec.org/data/deuksus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.