Is UK Risky Money Weakly Separable? A Stochastic Approach

Jane Binner (), Thomas Elger and Philipe de Peretti
Additional contact information
Jane Binner: Sheffield University
Thomas Elger: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden
Philipe de Peretti: Université de Paris 1, Postal: Panthéon, Sorbonne, Paris, France

No 2002:13, Working Papers from Lund University, Department of Economics

Abstract: Using non-parametric weak separability tests that are extended to allow for measurement errors in the data, a broad group of UK monetary assets is found to be weakly separable from consumer goods and leisure over the larger part of the nineties. Financial innovations have made assets with substantial interest rate risk (e.g. unit trusts) more liquid and recent developments in monetary aggregation theory dealt with risk and risk aversion in the calculation of user costs. It is, however, not possible to find any weakly separable group of assets that contains ‘risky’ assets in the current sample.

Keywords: Monetary Aggregation; Weak Separability; Risk (search for similar items in EconPapers)
JEL-codes: C43 D11 D12 E41 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2002-04-30
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (1)

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