Intertemporally non-separable monetary-asset risk adjustment and aggregation

William Barnett () and Shu Wu
Additional contact information
Shu Wu: University of Kansas

Macroeconomics from EconWPA

Abstract: Modern aggregation theory and index number theory were introduced into monetary economics by Barnett (1980). The widely used Divisia monetary aggregates were based upon that paper. A key result upon which the rest of the theory depended was Barnett’s derivation of the user-cost price of monetary assets. To make that critical part of Barnett’s results available prior to publication of that paper in the Journal of Econometrics, Barnett repeated that proof two years earlier in Economics Letters. Both papers have become seminal to the subsequent literature on monetary asset quantity and user cost aggregation. The extension of that literature to risk with intertemporally non-separable preferences now has become available in a working paper by Barnett and Wu (2004), and that paper will appear in volume 1, number 1 of the new journal, Annals of Finance. We are making available the key results from that paper below, without the proofs, which will be available in the longer paper.

Keywords: User costs; Monetary Aggregation; Risk; Pricing kernel; CAPM; Divisia (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-fin and nep-mon
Date: 2004-06-27
Note: Type of Document - pdf; pages: 9. This paper is a short form, without the proofs, of our paper, 'On User Costs of Risky Monetary Assets,' which is forthcoming in vol. 1, no. 1 of the new journal, the Annals of Finance, and is available as a working paper in the Economics Working Paper Archive at:
View list of references

Downloads: (external link)
http://129.3.20.41/eps/mac/papers/0406/0406010.pdf (application/pdf)

Related works:
Working Paper: INTERTEMPORALLY NON-SEPARABLE MONETARYASSET RISK ADJUSTMENT AND AGGREGATION (2004)
Journal Article: Intertemporally non-separable monetary-asset risk adjustment and aggregation (2004)
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: http://EconPapers.repec.org/RePEc:wpa:wuwpma:0406010

Access Statistics for this paper

More papers in Macroeconomics from EconWPA
Series data maintained by EconWPA ().