Admissible monetary aggregates for the euro area

被引：13

作者：

Binner, Jane M. ^{[1
]}

Bissoondeeal, Rakesh K. ^{[1
]}

Elger, C. Thomas ^{[2
]}

Jones, Barry E. ^{[3
]}

Mullineux, Andrew W. ^{[4
]}

机构：

[1] Aston Univ, Econ & Strategy Grp, Birmingham B4 7ET, W Midlands, England

[2] Lund Univ, Dept Econ, S-22007 Lund, Sweden

[3] SUNY Binghamton, Dept Econ, Binghamton, NY 13902 USA

[4] Univ Birmingham, Birmingham Business Sch, Birmingham B15 2TT, W Midlands, England

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2009年 / 28卷 / 01期

关键词：

Weak separability tests; IS curve; Euro area; Divisia aggregates; Forecasting; SECTOR MONEY DEMAND; UTILITY MAXIMIZATION; WEAK SEPARABILITY; UNITED-KINGDOM; BUSINESS-CYCLE; OPTIMAL LEVEL; INFLATION; DIVISIA; TESTS; SUBSTITUTES;

D O I：

10.1016/j.jimonfin.2008.07.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use the Fleissig and Whitney [Fleissig, A.R., Whitney, G.A., 2003. A new PC-based test for Varian's weak separability conditions. Journal of Business and Economics Statistics 21 (1), 133-144] weak separability test to determine admissible levels of monetary aggregation for the Euro area. We find that the Euro area monetary assets in M2 and M3 are weakly separable and construct admissible Divisia monetary aggregates for these assets. We show that real growth of the admissible Divisia aggregates enters the Euro area IS curve positively and significantly for the period from 1980 to 2005. Out of sample, we show that Divisia M2 and M3 appear to contain useful information for forecasting Euro area inflation. (c) 2008 Elsevier Ltd. All rights reserved.

引用

页码：99 / 114

页数：16

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