Sweep programs and optimal monetary aggregation

Jones, Barry E.; Dutkowsky, Donald H.; Elger, Thomas

doi:10.1016/j.jbankfin.2004.05.016

Cited by 52 publications

(44 citation statements)

References 33 publications

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“…small time deposits for the US and CDs for Germany and Japan, led to rejections of weak separability. Similarly, Jones, Dutkowsky and Elger (2005) test for weak separability of M2, which contains small time deposits, and M2M and MZM, which are zeromaturity aggregates that do not. Their findings are relatively favourable for MZM.…”

Section: Does Divisia Money Enter the Is Curve For The Euro Area?mentioning

confidence: 99%

Admissible monetary aggregates for the euro area

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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: Does Divisia Money Enter the Is Curve For The Euro Area?mentioning

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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“…Since commercial sweeps are more than just accounting devices, customers share in the earnings from those sweeps. Jones et al (2005) provide a method for adjusting the narrow monetary aggregates to account for commercial sweeps by moving amounts out of institutional money-market funds and back into demand deposits and other checkable deposits. However, this adjustment would not account for those commercial sweeps in unlinked investment accounts.…”

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

et al. 2012

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“…"Sweeps" programs allow routine transfers, at the banks' initiative, between M1 deposits and non-M1 deposits. An embryonic version of this arrangement developed during the 1970s in the form of automatic transfer services (ATS) (see Hafer, 1980), but extensive adoption of retail sweep deposit programs on the part of banks did not take effect until January 1994 (Anderson, 2003 Jones, Dutkosky, andElger, 2005, and has attempted to correct the U.S. One argument that has been advanced to explain the stability of M2 velocity is that the sweeps program itself tends to produce variations in M1 that cancel within M2. Beyond this more or less mechanical basis for favoring M2, it is also possible that M2 might be a preferable definition even from the perspective of standard theories of money demand.…”

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Money and Inflation: Some Critical Issues

McCallum

Nelson

2010

SSRN Journal

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We consider what, if any, relationship there is between monetary aggregates and inflation, and whether there is any substantial reason for modifying the current mainstream mode of policy analysis, which frequently does not consider monetary aggregates at all. We begin by considering the body of thought known as the "quantity theory of money." The quantity theory centers on the prediction that there will be a long-run proportionate reaction of the price level to an exogenous increase in the nominal money stock. The nominal homogeneity conditions that deliver the quantity-theory result are the same as those that deliver monetary neutrality, an important principle behind policy formulation. The quantity theory implies a ceteris paribus unitary relationship between inflation and money growth. Simulations of a New Keynesian model suggest that we should expect this relationship to be apparent in time series data, with no heavy averaging or filtering required, but with allowance needed for the phase shift in the relationship between monetary growth rates and inflation. While financial innovation can obscure the relationship between monetary growth and inflation, evidence of a money growth/inflation relationship does emerge from U.S. time series and G7 panel data.Various considerations suggest that studies of inflation and monetary policy behavior can benefit from including both interest rates and money in the empirical analysis.

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Sweep programs and optimal monetary aggregation

Cited by 52 publications

References 33 publications

Admissible monetary aggregates for the euro area

Admissible monetary aggregates for the euro area

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

Money and Inflation: Some Critical Issues

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