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Sweep Programs and Optimal Monetary Aggregation

Jones, Barry; Dutkowsky, Donald and Elger, Thomas LU (2005) In Journal of Banking & Finance 29(2). p.483-508
Abstract
This paper examines the admissibility of monetary aggregate groupings for the US over 1993-2001, based upon weak separability. We investigate the impact of retail and commercial demand deposit sweep programs on the separability of monetary asset groupings. Weak separability is tested Using the Swofford-Whitney and Fleissig-Whitney tests. We use Varian's measurement error adjustment procedure to eliminate violations of the Generalized Axiom of Revealed Preference (GARP). When funds from both retail and commercial demand deposit sweep programs are placed within checkable deposits, all groupings, narrow and broad, pass GARP and weak separability. For groupings based on conventional money measures, tests tend to favor broad aggregates.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Weak separability, GARP, Monetary aggregation, Non-parametric tests, Retail sweep programs, Commercial demand deposit sweep programs
in
Journal of Banking & Finance
volume
29
issue
2
pages
483 - 508
publisher
Elsevier
external identifiers
  • wos:000225915500010
  • scopus:10244260309
ISSN
1872-6372
DOI
10.1016/j.jbankfin.2004.05.016
language
English
LU publication?
yes
id
26572953-c209-45f4-adc5-166a793e9726 (old id 926075)
date added to LUP
2008-01-16 11:56:33
date last changed
2017-01-01 04:24:01
@article{26572953-c209-45f4-adc5-166a793e9726,
  abstract     = {This paper examines the admissibility of monetary aggregate groupings for the US over 1993-2001, based upon weak separability. We investigate the impact of retail and commercial demand deposit sweep programs on the separability of monetary asset groupings. Weak separability is tested Using the Swofford-Whitney and Fleissig-Whitney tests. We use Varian's measurement error adjustment procedure to eliminate violations of the Generalized Axiom of Revealed Preference (GARP). When funds from both retail and commercial demand deposit sweep programs are placed within checkable deposits, all groupings, narrow and broad, pass GARP and weak separability. For groupings based on conventional money measures, tests tend to favor broad aggregates.},
  author       = {Jones, Barry and Dutkowsky, Donald and Elger, Thomas},
  issn         = {1872-6372},
  keyword      = {Weak separability,GARP,Monetary aggregation,Non-parametric tests,Retail sweep programs,Commercial demand deposit sweep programs},
  language     = {eng},
  number       = {2},
  pages        = {483--508},
  publisher    = {Elsevier},
  series       = {Journal of Banking & Finance},
  title        = {Sweep Programs and Optimal Monetary Aggregation},
  url          = {http://dx.doi.org/10.1016/j.jbankfin.2004.05.016},
  volume       = {29},
  year         = {2005},
}