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The New CFS Divisia Monetary Aggregates: Design, Construction, and Data Sources

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  • William Barnett
  • Jia Liu
  • Ryan Mattson
  • Jeff Noort

Abstract

The Center for Financial Stability (CFS) has initiated a new Divisia monetary aggregates database, maintained within the CFS program called Advances in Monetary and Financial Measurement (AMFM). The Director of the program is William A. Barnett, who is the originator of Divisia monetary aggregation and more broadly of the associated field of aggregation-theoretic monetary aggregation. The international section of the AMFM web site is a centralized source for Divisia monetary aggregates data and research for over 40 countries throughout the world. The components of the CFS Divisia monetary aggregates for the United States reflect closely those of the current and former simple-sum monetary aggregates provided by the Federal Reserve. The first five levels, M1, M2, M2M, MZM, and ALL, are composed of currency, deposit accounts, and money market accounts. The liquid asset extensions to M3, M4-, and M4 resemble in spirit the now discontinued M3 and L aggregates, including repurchase agreements, large denomination time deposits, commercial paper, and Treasury bills. When the Federal Reserve discontinued publishing M3 and L, the Fed stopped providing the consolidated, seasonally adjusted components. Also the Fed no longer provides the interest rates on the components. With so much of the needed component quantity and interest-rate data no longer available from the Federal Reserve, decisions about data sources needed in construction of the CFS aggregates have been far from easy and sometimes required regression interpolation. This paper documents the decisions of the CFS regarding United States data sources at the present time, with particular emphasis on Divisia M3 and M4. Copyright Springer Science+Business Media New York 2013

Suggested Citation

  • William Barnett & Jia Liu & Ryan Mattson & Jeff Noort, 2013. "The New CFS Divisia Monetary Aggregates: Design, Construction, and Data Sources," Open Economies Review, Springer, vol. 24(1), pages 101-124, February.
    • Handle: RePEc:kap:openec:v:24:y:2013:i:1:p:101-124
    DOI: 10.1007/s11079-012-9257-1
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    More about this item

    Keywords

    Divisia monetary aggregates; Monetary aggregation; Index number theory; Financial aggregation; Data source; E51; E52; C43; C80; E41;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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