The UK Household Sector Demand for Risky Money

Thomas Elger and Jane M. Binner
Additional contact information
Thomas Elger: Lund University
Jane M. Binner: Aston University

The B.E. Journal of Macroeconomics, 2004, vol. topics.4, issue 1

Abstract: We compare the empirical performance of a capital certain monetary services index and an index that is extended to contain assets with substantial interest rate risk, such as unit trusts, within a cointegration money demand framework for the UK. Technological changes and innovations have increased the liquidity of risky assets and recent developments in monetary aggregation theory have made it possible to account for interest rate risk in combination with risk aversion in the construction of monetary services indices. Coefficient estimates for all systems are consistent with theory and remarkably stable. No apparent gains are noted, however, by the inclusion of 'risky' assets.

Keywords: Money Demand; Monetary Aggregation; Risk (search for similar items in EconPapers)
JEL-codes: E41 C32 C43 (search for similar items in EconPapers)
Date: 2004

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Persistent link: http://EconPapers.repec.org/RePEc:bpj:bejmac:v:topics.4:y:2004:i:1:n:3

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