Binner, Jane M., Chaudhry, Sajid, Kelly, Logan and Swofford, James L. (2018). “Risky” monetary aggregates for the UK and US. Journal of International Money and Finance, 89 , pp. 127-138.
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.
Publication DOI: | https://doi.org/10.1016/j.jimonfin.2018.08.015 |
---|---|
Divisions: | College of Business and Social Sciences > Aston Business School College of Business and Social Sciences > Aston Business School > Centre for Personal Financial Wellbeing |
Additional Information: | © 2018, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ |
Uncontrolled Keywords: | Risk,Capital asset pricing model,Liquidity,Divisia money |
Publication ISSN: | 1873-0639 |
Last Modified: | 14 Oct 2024 07:29 |
Date Deposited: | 15 Nov 2018 11:29 |
Full Text Link: | |
Related URLs: |
https://www.sci ... 261560618303826
(Publisher URL) |
PURE Output Type: | Article |
Published Date: | 2018-12-01 |
Published Online Date: | 2018-09-01 |
Accepted Date: | 2018-08-31 |
Authors: |
Binner, Jane M.
Chaudhry, Sajid ( 0000-0001-8769-8920) Kelly, Logan Swofford, James L. |
Download
Version: Accepted Version
License: Creative Commons Attribution Non-commercial No Derivatives
| Preview