Toward a Bias Corrected Currency Equivalent Index

William Barnett (), John W. Keating and Logan James Kelly

MPRA Paper from University Library of Munich, Germany

Abstract: Measuring the economic stock of money, defined to be the present value of current and future monetary service flows, is a difficult asset pricing problem, because most monetary assets yield interest. Thus, an interest yielding monetary asset is a joint product: a durable good providing a monetary service flow and a financial asset yielding a return. The currency equivalent index provides an elegant solution, but it does so by making strong assumptions about expectations of future monetary service flows. These assumptions cause the currency equivalent index to exhibit significant downward bias. In this paper, we propose an extension to the currency equivalent index that will correct for a significant amount of this bias.

Keywords: Currency equivalent index; monetary aggregation; money stock (search for similar items in EconPapers)
JEL-codes: E41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2007-11-28
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http://mpra.ub.uni-muenchen.de/6008/

Related works:
Working Paper: Toward a Bias Corrected Currency Equivalent Index (2007)
Working Paper: Toward a Bias Corrected Currency Equivalent Index (2007)
Journal Article: Toward a bias corrected currency equivalent index (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:6008

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