Admissible monetary aggregates for the euro area

Binner, Jane M.; Bissoondeeal, Rakesh K.; Elger, C. Thomas; Jones, Barry E.; Mullineux, Andy

doi:10.1016/j.jimonfin.2008.07.007

Cited by 21 publications

(15 citation statements)

References 54 publications

(61 reference statements)

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“…find that the same is true for household-sector Divisia monetary aggregates. These results corroborate similar findings for the USA (Nelson, 2002;Hafer et al, 2006) and for the Euro area (Stracca, 2004;Binner et al, 2009). In addition, Goodhart and Hofmann (2005) find that broad money growth (M4) is significant in a backward-looking specification of the UK IS curve (unique among G7 countries).…”

Section: Introductionsupporting

confidence: 90%

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Does Money Matter in the Is Curve? The Case of the Uk

Jones

Stracca

2008

The Manchester School

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Narrow and broad money measures (including Divisia aggregates) have been found to have explanatory power for UK output in backwardlooking specifications of the IS curve. In this paper, we explore whether or not real balances enter into a forward-looking IS curve for the UK. To do this, we test for additive separability between consumption and money over a sizeable part of the post-Exchange Rate Mechanism period using non-parametric methods. A main finding is that the UK data seem to be broadly consistent with additive separability for the more recent period from 1999 to 2007.

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Section: Introductionsupporting

confidence: 90%

“…These results corroborate similar findings for the USA (Nelson, 2002; Hafer et al. , 2006) and for the Euro area (Stracca, 2004; Binner et al. , 2009).…”

Section: Introductionsupporting

confidence: 90%

Does Money Matter in the Is Curve? The Case of the Uk

Jones

Stracca

2008

The Manchester School

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“…We plan to update the dataset regularly. 2 Earlier academic works on the euro-area Divisia aggregates include Wesche (1997), Reimers (2002), Stracca (2004), Barnett (2007), Binner et al (2009), Jones and Stracca (2012) and Barnett and Gaekwad-Babulal (2014), while El-Shagi and Kelly (2013) calculated Divisia-money indicators for six euro-area countries. In contrast to most of these papers, we base our calculations on euro-area data as opposed to aggregating country-specific data at the euro-area level.…”

Section: A New Euro-area Divisia Money Datasetmentioning

confidence: 99%

Does money matter in the euro area? Evidence from a new Divisia index

Darvas

2015

Economics Letters

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• Money has virtually disappeared from standard monetary models:• Empirical failures: estimated money demand functions found to be unstable; money proved to be less effective in predicting economic outcomes;• Policy shifts: central banks focus on interest rates;• Theory: development of theories suggesting that money is redundant.• Measurement problem?• Standard (simple sum) monetary aggregates were used, but:• E.g. cash and bank debt securities quite different, yet simple sum money aggregation assumes they are perfect substitutes • Correct aggregation: using either aggregation theory or index number theory;• Barnett (1980): use the discrete-time Törnquist-Theil approximation of the Divisia index;• Divisia money aggregates weight the components according to their "moneyness", i.e. according to their usefulness in making transactions;• For the US, it is found that money demand for divisia is stable; divisia works better than simple sum aggregates in VARs; divisia helps to predict inflation and nominal GDP (some recent works: Hendrickson (2013, Macr

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“…This is justified by the fact that in theory, the benchmark rate offers the highest return (Serletis and Molik, 2000). Following Binner et al (2009), the inter-bank lending rate is taken as benchmark rate in our study.…”

Section: Research In Applied Economicsmentioning

confidence: 99%

Empirical Performance of Monetary Aggregates in BEAC and BCEAO

Ndjokou¹

2013

RAE

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The aim of this study is to compare empirical performance of traditional as well as Divisia monetary aggregates. This evidence comes from the comparison of their relative performance in terms of real GDP and inflation within 1992.1 and 2007.4. For this purpose, the study uses in-sample and out-of-sample approaches. The in-sample approach focuses on variance decomposition analysis. Concerning out-of-sample analysis, a forecasting model is estimated through 2003:4 and forecast are generated for the period 2004:1-2007:4. The study leads to the following results. Inflation and real GDP are better explained respectively by Divisia M2 and simple sum M2 in BEAC. In BCEAO, the contribution of each monetary aggregate to the fluctuations of inflation and real GDP is very worst except simple sum M2 in explaining price level. Considering the forecasting ability, it appears that at the narrowest level of aggregation, there is no difference between the two types of monetary aggregates in the two Central Banks. At the broader level, Divisia M2 has a slight edge over traditional M2 in predicting real GDP in BEAC. In BCEAO, simple sum M2 dominates Divisia M2 in explaining inflation. JEL Classification: B22 C32 C43 C53 E52

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Admissible monetary aggregates for the euro area

Cited by 21 publications

References 54 publications

Does Money Matter in the Is Curve? The Case of the Uk

Does Money Matter in the Is Curve? The Case of the Uk

Does money matter in the euro area? Evidence from a new Divisia index

Empirical Performance of Monetary Aggregates in BEAC and BCEAO

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