“Risky” monetary aggregates for the UK and US


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: 18 Jun 2024 07:20
Date Deposited: 15 Nov 2018 11:29
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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 (ORCID Profile 0000-0001-8769-8920)
Kelly, Logan
Swofford, James L.

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