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Title: A new empirically weighted monetary aggregate for the U.S.
Authors: Drake, Leigh M.
Mills, Terence C.
Keywords: Monetary aggregation
Monetary aggregates
Monetary policy
Leading indicators
Issue Date: 2002
Abstract: 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).
Description: Economic Research Papers, no. 02-12
URI: https://dspace.lboro.ac.uk/2134/368
Appears in Collections:Working Papers (Economics)

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