Admissible monetary aggregates for the euro area

Binner, Jane M., Bissoondeeal, Rakesh, Elger, C. Thomas, Jones, Barry E. and Mullineaux, Andrew W. (2009). Admissible monetary aggregates for the euro area. Journal of International Money and Finance, 28 (1), pp. 99-114.

Abstract

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.

Publication DOI: https://doi.org/10.1016/j.jimonfin.2008.07.007
Divisions: Aston Business School > Economics finance & entrepreneurship
Aston Business School
Uncontrolled Keywords: weak separability tests,IS curve,euro area,divisia aggregates,forecasting,Economics and Econometrics,Finance
Full Text Link: http://publicat ... 518/1/Final.pdf
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Date: 2009-02
Authors: Binner, Jane M.
Bissoondeeal, Rakesh
Elger, C. Thomas
Jones, Barry E.
Mullineaux, Andrew W.

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