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Admissible monetary aggregates for the euro area

Binner, Jane M.; Bissoondeeal, Rakesh K.; Elger, Thomas LU ; Jones, Barry E. and Mullineux, Andrew W. (2009) In Journal of International Money and Finance 28(1). p.99-114
Abstract
We use the Fleissig and Whitney [Fleissig, A.R., Whitney, G.A., 2003. A new PC-based test for Varian's weak separability conditions. Journal of Business and Economics Statistics 21 (1), 133-144] weak separability test to determine admissible levels of monetary aggregation for the Euro area. We find that the Euro area monetary assets in M2 and M3 are weakly separable and construct admissible Divisia monetary aggregates for these assets. We show that real growth of the admissible Divisia aggregates enters the Euro area IS curve positively and significantly for the period from 1980 to 2005. Out of sample, we show that Divisia M2 and M3 appear to contain useful information for forecasting Euro area inflation. (c) 2008 Elsevier Ltd. All rights... (More)
We use the Fleissig and Whitney [Fleissig, A.R., Whitney, G.A., 2003. A new PC-based test for Varian's weak separability conditions. Journal of Business and Economics Statistics 21 (1), 133-144] weak separability test to determine admissible levels of monetary aggregation for the Euro area. We find that the Euro area monetary assets in M2 and M3 are weakly separable and construct admissible Divisia monetary aggregates for these assets. We show that real growth of the admissible Divisia aggregates enters the Euro area IS curve positively and significantly for the period from 1980 to 2005. Out of sample, we show that Divisia M2 and M3 appear to contain useful information for forecasting Euro area inflation. (c) 2008 Elsevier Ltd. All rights reserved. (Less)
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Divisia aggregates, Euro area, Weak separability tests, IS curve, Forecasting
in
Journal of International Money and Finance
volume
28
issue
1
pages
99 - 114
publisher
Elsevier
external identifiers
  • wos:000263393800005
  • scopus:49749128296
ISSN
0261-5606
DOI
10.1016/j.jimonfin.2008.07.007
language
English
LU publication?
yes
id
b65d4223-f994-43b8-967a-55620ac79223 (old id 1372152)
date added to LUP
2009-05-04 15:45:03
date last changed
2017-08-20 03:36:04
@article{b65d4223-f994-43b8-967a-55620ac79223,
  abstract     = {We use the Fleissig and Whitney [Fleissig, A.R., Whitney, G.A., 2003. A new PC-based test for Varian's weak separability conditions. Journal of Business and Economics Statistics 21 (1), 133-144] weak separability test to determine admissible levels of monetary aggregation for the Euro area. We find that the Euro area monetary assets in M2 and M3 are weakly separable and construct admissible Divisia monetary aggregates for these assets. We show that real growth of the admissible Divisia aggregates enters the Euro area IS curve positively and significantly for the period from 1980 to 2005. Out of sample, we show that Divisia M2 and M3 appear to contain useful information for forecasting Euro area inflation. (c) 2008 Elsevier Ltd. All rights reserved.},
  author       = {Binner, Jane M. and Bissoondeeal, Rakesh K. and Elger, Thomas and Jones, Barry E. and Mullineux, Andrew W.},
  issn         = {0261-5606},
  keyword      = {Divisia aggregates,Euro area,Weak separability tests,IS curve,Forecasting},
  language     = {eng},
  number       = {1},
  pages        = {99--114},
  publisher    = {Elsevier},
  series       = {Journal of International Money and Finance},
  title        = {Admissible monetary aggregates for the euro area},
  url          = {http://dx.doi.org/10.1016/j.jimonfin.2008.07.007},
  volume       = {28},
  year         = {2009},
}