An Extended Series of Divisia Monetary Aggregates

Abstract

at Austin, was a visiting scholar at the Federa/ Reserve Bank of St. Louis when this artic/e was written. Lynn Dietrich and Kevin White provided research assistance. An Extended Series of Divisia Monetary Aggregates rj-i I HE CONVENTION IN monetary economics has been to create monetary aggregates by simply adding together the dollar amounts of the various financial assets included in them. This is the simple-sum method of aggregation. This procedure has been criticized because such monetary aggregates are essentially indexes that weight each component financial asset equally, a practice that is economically meaningful only under special circumstances. A number of alternative indexes of monetary aggregates have been developed recently. The most well known are the Divisia monetary aggregates developed by Barnett (1980). This article reviews the theoretical basis for monetary aggregation and presents series of Divisia monetary aggregates for an extended sample period. The behavior of the simple-sum aggregates and their Divisia counterparts are compared over this period.

Sweep programs and optimal monetary aggregation

“…Beginning September 17, 1991, the Fed reports MMDA and other savings deposits as a combined sum. Second, demand deposit data could be separated into household and non-household deposits until the end of 1990 (see Thornton and Yue, 1992). We detected overall GARP violations in both Panels A and B if we include 1992 in the sample, while overall GARP is satisfied for all panels for the 1993-2001 period.…”

“…The separation of household and business DD inThornton and Yue's (1992) widely used monetary dataset(underlying Fisher and Fleissig, 1997) was based on data that were discontinued in 1990.…”

The New CFS Divisia Monetary Aggregates: Design, Construction, and Data Sources

“…Anderson and Jones (2011) and Anderson, Jones, and Nesmith (1997) investigated the possibility of assigning a non-zero own rate to demand deposits and proposed alternative methods, originally suggested by Barnett and Spindt (1982), Farr and Johnson (1985), and Thornton and Yue (1992). In these imputation procedures, household and business demand-deposits are separated.…”

A Comparison of Two Methods for Testing the Utility Maximization Hypothesis When Quantity Data Are Measured With Error

“…The application is based on testing the underlying data used by Thornton and Yue (1992) to calculate a set of Divisia monetary aggregates for the United States from 1960 to 1992. The data consists of monthly observations of nominal asset stocks and real user costs for the assets in the monetary aggregate L (Liquid Assets).…”

“…Fisher and Fleissig (1997, pp. 461-464) divided their dataset (also from Thornton and Yue, 1992) into 21 subsamples of 1960:1-1993:5 and they tested groups of monetary assets (corresponding to M1A, M1, M2, M3, and L) for weak separability over each of them. Weak separability is the key property required for the existence of an economic monetary aggregate, see Barnett (1982), Swofford and Whitney (1994), and Barnett and Serletis (2000).…”