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A note on the optimal level of monetary aggregation in the United Kingdom

Elger, Thomas LU ; Jones, Barry LU ; Edgerton, David LU and Binner, Jane M (2008) In Macroeconomic Dynamics 12(1). p.117-131
Abstract
Weak separability is a key admissibility property in the Divisia approach to monetary aggregation. We test groups of U.K. household sector monetary assets for weak separability using new data underlying the Bank of England's benchmark revision of its household sector Divisia index. Nonparametric tests are used to identify four monetary asset groupings, which are weakly separable over all or almost all of the post-ERM period (1992:4-2005:1). We construct Divisia monetary aggregates for these four groupings and investigate their information content in two applications. The main findings are that Divisia money has direct effects on aggregate demand and that the growth rates of the nominal Divisia monetary aggregates Granger cause nominal... (More)
Weak separability is a key admissibility property in the Divisia approach to monetary aggregation. We test groups of U.K. household sector monetary assets for weak separability using new data underlying the Bank of England's benchmark revision of its household sector Divisia index. Nonparametric tests are used to identify four monetary asset groupings, which are weakly separable over all or almost all of the post-ERM period (1992:4-2005:1). We construct Divisia monetary aggregates for these four groupings and investigate their information content in two applications. The main findings are that Divisia money has direct effects on aggregate demand and that the growth rates of the nominal Divisia monetary aggregates Granger cause nominal output growth, but not inflation. (Less)
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
monetary aggregation, nonparametric tests, weak separability
in
Macroeconomic Dynamics
volume
12
issue
1
pages
117 - 131
publisher
Cambridge University Press
external identifiers
  • wos:000251950200007
  • scopus:84920497909
ISSN
1365-1005
DOI
10.1017/S136510050706035X
language
English
LU publication?
yes
id
76fee511-98b3-47cc-860e-d84928ec6511 (old id 1200190)
date added to LUP
2008-09-12 11:24:27
date last changed
2017-08-13 04:10:05
@article{76fee511-98b3-47cc-860e-d84928ec6511,
  abstract     = {Weak separability is a key admissibility property in the Divisia approach to monetary aggregation. We test groups of U.K. household sector monetary assets for weak separability using new data underlying the Bank of England's benchmark revision of its household sector Divisia index. Nonparametric tests are used to identify four monetary asset groupings, which are weakly separable over all or almost all of the post-ERM period (1992:4-2005:1). We construct Divisia monetary aggregates for these four groupings and investigate their information content in two applications. The main findings are that Divisia money has direct effects on aggregate demand and that the growth rates of the nominal Divisia monetary aggregates Granger cause nominal output growth, but not inflation.},
  author       = {Elger, Thomas and Jones, Barry and Edgerton, David and Binner, Jane M},
  issn         = {1365-1005},
  keyword      = {monetary aggregation,nonparametric tests,weak separability},
  language     = {eng},
  number       = {1},
  pages        = {117--131},
  publisher    = {Cambridge University Press},
  series       = {Macroeconomic Dynamics},
  title        = {A note on the optimal level of monetary aggregation in the United Kingdom},
  url          = {http://dx.doi.org/10.1017/S136510050706035X},
  volume       = {12},
  year         = {2008},
}