The new CFS Divisia monetary aggregates: design, construction, and data sources

William Barnett, Jia Liu, Ryan Mattson () and Jeff van den Noort

MPRA Paper from University Library of Munich, Germany

Abstract: The Center for Financial Stability (CFS) has initiated a new Divisia monetary aggregates database, maintained within the CFS program called Advances in Monetary and Financial Measurement (AMFM). The Director of the program is William A. Barnett, who is the originator of Divisia monetary aggregation and more broadly of the associated field of aggregation-theoretic monetary aggregation. The international section of the AMFM web site is a centralized source for Divisia monetary aggregates data and research for over 40 countries throughout the world. The components of the CFS Divisia monetary aggregates for the United States reflect closely those of the current and former simple-sum monetary aggregates provided by the Federal Reserve. The first five levels, M1, M2, M2M, MZM, and ALL, are composed of currency, deposit accounts, and money market accounts. The liquid asset extensions to M3, M4-, and M4 resemble in spirit the now discontinued M3 and L aggregates, including repurchase agreements, large denomination time deposits, commercial paper, and Treasury bills. When the Federal Reserve discontinued publishing M3 and L, the Fed stopped providing the consolidated, seasonally adjusted components. Also the Fed no longer provides the interest rates on the components. With so much of the needed component quantity and interest-rate data no longer available from the Federal Reserve, decisions about data sources needed in construction of the CFS aggregates have been far from easy and sometimes required regression interpolation. This paper documents the decisions of the CFS regarding United States data sources at the present time, with particular emphasis on Divisia M3 and M4.

Keywords: Divisia monetary aggregates; monetary aggregation; index number theory; financial aggregation; data source (search for similar items in EconPapers)
JEL-codes: C80 E41 E51 E52 (search for similar items in EconPapers)
Date: 2012-05-19
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (16)

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Related works:
Journal Article: The New CFS Divisia Monetary Aggregates: Design, Construction, and Data Sources (2013)
Working Paper: The New CFS Divisia Monetary Aggregates: Design, Construction, and Data Sources (2012)
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