Monetary Aggregation Theory and Statistical Index Numbers

Anderson, Richard G.; Jones, Barry E.; Nesmith, Travis D.

doi:10.20955/r.79.31-52

Cited by 30 publications

(27 citation statements)

References 49 publications

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“…He emphasized, however, that the composition of the monetary aggregates must be based on weak separability tests. 7 Divisia monetary aggre gates are currently produced by the Federal Reserve Bank of St. Louis (Anderson, Jones, and Nesmith, 1997) and the Bank of England (Hancock, 2005).…”

Section: Introductionmentioning

confidence: 99%

Admissible monetary aggregates for the euro area

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Bissoondeeal

Elger

et al. 2009

Journal of International Money and Finance

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Aston Academy for Research in Management is the administrative centre for all research activities at Aston Business School. The School comprises more than 70 academic staff organised into thematic research groups along with a Doctoral Programme of more than 50 research students. Research is carried out in all of the major areas of business studies and a number of specialist fields. For further information contact:The Research Director, Aston Business School, Aston University, Birmingham B4 7ET

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Section: Introductionmentioning

confidence: 99%

Admissible monetary aggregates for the euro area

Binner

Bissoondeeal

Elger

et al. 2009

Journal of International Money and Finance

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“…2 Although the above analytical development has been concentrated on DS; as a …rst approximation a similar adjustment -of keeping the weighs and including the term d± i =± i -could be made with DE (and DG) to account for …nancial innovations. 1 Write ui hu;xi dx i in (11) as uixi hu;xi dx i =x i : 2 Spencer (1998) arrives at this same conclusion using a static cost-minimization argument.…”

Section: Financial Innovationsmentioning

confidence: 93%

“…This version of the Divisia index is the one mostly used in the literature (see, for instance, Hulten (1973) or Anderson et Al. (1997)).…”

Section: The Divisia Index Normalized By the Seigniorage (Ds)mentioning

confidence: 99%

Divisia Indexes, Money and Welfare

Cysne

2000

SSRN Journal

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“…At this stage, before introducing the methodologies and results of wavelet transformations and structural VAR it may beneficial to define the conceptual framework of formulations used to obtain the Divisia index. To do this, Karaman (2009) and Anderson et al (1997b;1997c) are strictly followed 9 :…”

Section: Data and Conceptual Framework In Construction Of Divisia Indexmentioning

confidence: 99%

Divisia and Simple Sum Monetary Aggregates: Any Empirical Relevance for Turkey?

Polat

2018

Journal of Central Banking Theory and Practice

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In consideration of channels through which monetary policy affects economic activity, the monetary aggregates have been mostly ignored by the monetary authorities instead of which shortrun interest rates have been given a priori role. These monetary aggregates are largely argued to fail in measuring the effectiveness of different monetary policy regimes in forecasting the macroeconomic fundamentals. Grounded on the "Barnett critique", the formation of traditional simple-sum monetary aggregates assuming for perfect substitution among the components of the money supply is blamed for such a failure of money in explaining the real activity. Given increasing varieties of financial assets which have completely different "moneyness", it is important to provide an alternative measure of the money supply. Hereby, the Divisia monetary aggregates which give different weights to different assets have arisen as an alternative approach. In this study, a Divisia index is constructed to test its predictive power on quantities and prices compared to its simple sum counterpart. Accordingly, a Divisia index is built-up for Turkish economy for the period 2006-2016 to see whether the utilization of the Divisia monetary aggregates in the conduct of monetary policy makes any difference compared to that of traditional simple sum money supply. Under different specifications, though the relative power of the Divisia aggregates in predicting quantity and price variables is found, still, it can be argued that theoretically well-rounded formation of the Divisia index is not that much empirically justified for the case of Turkey.

show abstract

Monetary Aggregation Theory and Statistical Index Numbers

Cited by 30 publications

References 49 publications

Admissible monetary aggregates for the euro area

Admissible monetary aggregates for the euro area

Divisia Indexes, Money and Welfare

Divisia and Simple Sum Monetary Aggregates: Any Empirical Relevance for Turkey?

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