“Risky” monetary aggregates for the UK and US

Jane M. Binner; Sajid Chaudhry; Logan Kelly; James L. Swofford

doi:10.1016/j.jimonfin.2018.08.015

“Risky” monetary aggregates for the UK and US

Jane M. Binner, Sajid Chaudhry, Logan Kelly, James L. Swofford

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	127-138
Journal	Journal of International Money and Finance
Volume	89
Early online date	1 Sept 2018
DOIs	https://doi.org/10.1016/j.jimonfin.2018.08.015
Publication status	Published - 1 Dec 2018

Bibliographical note

Keywords

Risk
Capital asset pricing model
Liquidity
Divisia money

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10.1016/j.jimonfin.2018.08.015

“Risky” monetary aggregates for the UK and US
© 2018, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Accepted author manuscript, 511 KBLicence: CC BY-NC-ND 3.0

Cite this

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title = "“Risky” monetary aggregates for the UK and US",

abstract = "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.",

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AU - Binner, Jane M.

AU - Chaudhry, Sajid

AU - Kelly, Logan

AU - Swofford, James L.

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N2 - 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.

AB - 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.

KW - Risk

KW - Capital asset pricing model

KW - Liquidity

KW - Divisia money

UR - https://www.sciencedirect.com/science/article/pii/S0261560618303826

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DO - 10.1016/j.jimonfin.2018.08.015

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SP - 127

EP - 138

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

ER -

“Risky” monetary aggregates for the UK and US

Abstract

Bibliographical note

Keywords

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