"Risky" monetary aggregates for the UK and US

被引：7

作者：

Binner, Jane M. ^{[1
]}

Chaudhry, Sajid ^{[1
]}

Kelly, Logan ^{[2
]}

Swofford, James L. ^{[3
]}

机构：

[1] Univ Birmingham, Dept Finance, Birmingham B15 2TT, W Midlands, England

[2] Univ Wisconsin, Coll Business Adm, River Falls, WI 54002 USA

[3] Univ S Alabama, Dept Econ & Finance, Mobile, AL 36688 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2018年 / 89卷

关键词：

Risk; Capital asset pricing model; Liquidity; Divisia money; WEAK SEPARABILITY; UTILITY MAXIMIZATION; NONPARAMETRIC ANALYSIS; STOCHASTIC VOLATILITY; INFORMATION-CONTENT; INTEREST-RATES; INDEX NUMBERS; MONEY DEMAND; TESTS; CONSUMPTION;

D O I：

10.1016/j.jimonfin.2018.08.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We extend the scope of monetary aggregation beyond capital certain assets that make up central bank data sets and identify groups of assets that form monetary aggregates composed of both capital certain and risky, capital uncertain, assets. We construct monetary aggregates for the US and UK using a superlative index and relax a key assumption of the Consumption Capital Asset Pricing Model (CCAPM), a one year planning horizon, by using forecasted returns on risky assets. Our new risky monetary aggregates perform well in VAR tests. We recommended exploring risky assets as providers of liquidity services in future research on this topic. (C) 2018 Elsevier Ltd. All rights reserved.

引用

页码：127 / 138

页数：12

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