The discounted economic stock of money with VAR forecasting

William Barnett, Unja Chae and John Keating
Additional contact information
Unja Chae: Intel Corporation

No 51, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: We measure the economic capital stock of money implied by the Divisia monetary aggregate service flow, in a manner consistent with asset pricing theory. Based on Barnett’s [4] definition of the economic stock of money, we estimate the expected discounted flow of expenditure on the services of monetary assets, where expenditure on monetary services is evaluated at the user costs of the monetary components. We use forecasts based on martingale expectations, asymmetric vector autoregressive expectations, and the Bayesian vector autoregressive expectations. We find the resulting capital-stock index to be surprisingly robust to the modeling of expectations

Keywords: Monetary aggregation; discounted economic capital stock; VAR; robustness; capital asset pricing (search for similar items in EconPapers)
JEL-codes: C22 C43 E41 G12 (search for similar items in EconPapers)
Date: 2006-07-04
New Economics Papers: this item is included in nep-cba, nep-fin, nep-fmk, nep-for, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://econpapers.repec.org/paper/wpawuwpma/0508021.htm main text (text/html)
http://repec.org/sce2006/up.27146.1138565985.pdf (application/pdf)

Related works:
Chapter: The Discounted Economic Stock of Money with VAR Forecasting (2011)
Journal Article: The Discounted Economic Stock of Money with VAR Forecasting (2006)
Working Paper: The Discounted Economic Stock of Money with VAR Forecasting (2005)
Working Paper: The Discounted Economic Stock of Money with VAR Forecasting (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:51

Access Statistics for this paper

More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().