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A New Empirical Weighted Monetary A New Empirical Weighted Monetary Aggregate for the U.K. Aggregate for the U.K. (1999)
BibTeX
@MISC{Drake99anew,
author = {Leigh Drake and Terence C. Mills},
title = {A New Empirical Weighted Monetary A New Empirical Weighted Monetary Aggregate for the U.K. Aggregate for the U.K.},
year = {1999}
}
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Abstract
This paper utilises an approach to long run modelling proposed by Pesaran, Shin and Smith (1996) to develop an empirical weighted broad monetary aggregate for the U.K. The properties of this new aggregate are contrasted with those of the corresponding simple sum and Divisia aggregates. The new weighted monetary aggregate is found to be highly stable and conforms well with standard money demand properties. The aggregate also displays sensible impulse response and persistence profiles to monetary shocks in the context of a VECM framework. Finally, the empirical weighted aggregate displays superior information content in respect of nominal income when contrasted with simple sum and Divisia aggregates using a series of St. Louis equations. Keywords: Monetary aggregation; Divisia; Monetary policy; Leading indicators. JEL Categories: E41, E52, E58. 4 1. Introduction By using an approach to long-run modelling proposed by Pesaran, Shin and Smith (1996), this paper develops an empirically d...
Keyphrases
u.k. aggregate new weighted monetary aggregate long run broad monetary aggregate persistence profile jel category vecm framework simple sum louis equation standard money demand property monetary policy nominal income corresponding simple sum divisia aggregate sensible impulse response monetary aggregation monetary shock new aggregate long-run modelling
