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A new empirically weighted monetary aggregate for the U.S.

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posted on 2005-08-12, 16:15 authored by Leigh M. Drake, Terence Mills
This paper utilises an approach to long run modelling proposed by Pesaran, Shin and Smith (2001) to develop an empirically weighted broad monetary aggregate for the U.S., and to demonstrate the advantages of this type of aggregate from a monetary policy perspective. In particular, the paper examines the ability of this type of approach to deal with periods of significant financial innovation and money demand instability, such as the "missing money" episodes of the early/mid 1970s (with respect to M1) and the early/mid 1990s (with respect to M2).

History

School

  • Business and Economics

Department

  • Economics

Pages

399326 bytes

Publication date

2002

Notes

Economic Research Papers, no. 02-12

Language

  • en

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