“Risky” monetary aggregates for the UK and US

Jane M. Binner, Sajid Chaudhry, Logan Kelly, James L. Swofford

Research output: Contribution to journalArticlepeer-review

Abstract

We extend the scope of monetary aggregation beyond capital certain assets that make up central bank data sets and identify groups of assets that form monetary aggregates composed of both capital certain and risky, capital uncertain, assets. We construct monetary aggregates for the US and UK using a superlative index and relax a key assumption of the Consumption Capital Asset Pricing Model (CCAPM), a one year planning horizon, by using forecasted returns on risky assets. Our new risky monetary aggregates perform well in VAR tests. We recommended exploring risky assets as providers of liquidity services in future research on this topic.
Original languageEnglish
Pages (from-to)127-138
JournalJournal of International Money and Finance
Volume89
Early online date1 Sep 2018
DOIs
Publication statusPublished - 1 Dec 2018

Bibliographical note

© 2018, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

  • Risk
  • Capital asset pricing model
  • Liquidity
  • Divisia money

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