The Microeconomic Theory of Monetary Aggregation

Barnett, William A.

doi:10.1108/s0573-8555(2000)0000245012

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2005

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Cited by 23 publications

(2 citation statements)

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“…2This is shown to be true in Barnett (1986), where neutral technological progress is assumed. Koenig and Fombly (1990)…”

Section: The Modelmentioning

confidence: 99%

“…The question is, do the Divisia monetary aggregates adequately capture the effects of all these financial innovations? Barnett (1986) shows that if the technological innovation in *We are indebted to David Hendry and anonymous referees for their perceptive and extremely helpful comments on an earlier draft of the paper. We would also like to thank participants in seminars at the Bank of England and the University of Birmingham for their observations.…”

Section: Introductionmentioning

confidence: 99%

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FINANCIAL INNOVATION AND DIVISIA MONETARY AGGREGATES^*

1992

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“…2This is shown to be true in Barnett (1986), where neutral technological progress is assumed. Koenig and Fombly (1990)…”

Section: The Modelmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

FINANCIAL INNOVATION AND DIVISIA MONETARY AGGREGATES^*

1992

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On user costs of risky monetary assets

Barnett

2005

Annals of Finance

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We extend the monetary-asset user-cost risk adjustment of Barnett, Liu and Jensen (1997) and their risk-adjusted Divisia monetary aggregates to the case of multiple non-monetary assets and intertemporal non-separability. Our model can generate potentially larger and more accurate CCAPM user-cost risk adjustments than those found in Barnett, Liu and Jensen (1997). We show that the risk adjustment to a monetary asset’s user cost can be measured easily by its beta. We show that any risky non-monetary asset can be used as the benchmark asset, if its rate of return is adjusted in accordance with our formula. These extensions could be especially useful, when own rates of return are subject to exchange rate risk, as in Barnett (2003). Copyright Springer-Verlag Berlin Heidelberg 2005User costs, Monetary aggregation, Risk, Pricing kernel, CAPM, E41, G12, C43, C22,

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