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Divisia Second Moments

Author

Listed:
  • Barnett, William A.
  • Jones, Barry E.
  • Nesmith, Travis D.

Abstract

W. A. Barnett originated the Divisia monetary aggregates, using Diewert's results on superlative index numbers and Barnett's derivation of the user cost of monetary asset services. The resulting Divisia index can be interpreted as a first moment aggregating over growth rates with expenditure shares serving as probabilities. But Theil showed that there are analogous higher order Divisia moments providing distributional information. In this paper we use the Divisia second moments to investigate distributional information in the monetary aggregate growth rates.

Suggested Citation

  • Barnett, William A. & Jones, Barry E. & Nesmith, Travis D., 2008. "Divisia Second Moments," MPRA Paper 9111, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:9111
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    File URL: https://mpra.ub.uni-muenchen.de/9124/1/MPRA_paper_9124.pdf
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    References listed on IDEAS

    as
    1. Barnett, William A., 1980. "Economic monetary aggregates an application of index number and aggregation theory," Journal of Econometrics, Elsevier, vol. 14(1), pages 11-48, September.
    2. Barnett, William A & Offenbacher, Edward K & Spindt, Paul A, 1984. "The New Divisia Monetary Aggregates," Journal of Political Economy, University of Chicago Press, vol. 92(6), pages 1049-1085, December.
    3. Daniel L. Thornton & Piyu Yue, 1992. "An extended series of divisia monetary aggregates," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 35-52.
    4. Barnett, William A. & Serletis, Apostolos, 1990. "A dispersion-dependency diagnostic test for aggregation error : With applications to monetary economics and income distribution," Journal of Econometrics, Elsevier, vol. 43(1-2), pages 5-34.
    5. Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May.
    6. Barnett, William A., 1978. "The user cost of money," Economics Letters, Elsevier, vol. 1(2), pages 145-149.
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    Citations

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    Cited by:

    1. 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.
    2. Zahid, Asghar & Frahat, Tahira, 2010. "Measuring inflation through stochastic approach to index numbers," MPRA Paper 21513, University Library of Munich, Germany.

    More about this item

    Keywords

    Divisia monetary aggregates; Divisia second moments; monetary aggregation; monetary policy; distribution effects;

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G0 - Financial Economics - - General
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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