The discounted economic stock of money with VAR forecasting

William Barnett (), Unja Chae and John W. Keating
Additional contact information
Unja Chae: Intel Corporation
John W. Keating: U. of Kansas

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: E41 G12 C43 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-fin, nep-fmk, nep-for, nep-mac and nep-mon
Date: 2006-07-04
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Related works:
Working Paper: The Discounted Economic Stock of Money with VAR Forecasting (2005)
Working Paper: The Discounted Economic Stock of Money with VAR Forecasting (2005)
Journal Article: The Discounted Economic Stock of Money with VAR Forecasting (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:sce:scecfa:51

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