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Is UK Risky Money Weakly Separable? A Stochastic Approach

Author

Listed:
  • Binner, Jane

    (Sheffield University)

  • Elger, Thomas

    (Department of Economics, Lund University)

  • de Peretti, Philipe

    (Université de Paris 1)

Abstract

Using non-parametric weak separability tests that are extended to allow for measurement errors in the data, a broad group of UK monetary assets is found to be weakly separable from consumer goods and leisure over the larger part of the nineties. Financial innovations have made assets with substantial interest rate risk (e.g. unit trusts) more liquid and recent developments in monetary aggregation theory dealt with risk and risk aversion in the calculation of user costs. It is, however, not possible to find any weakly separable group of assets that contains ‘risky’ assets in the current sample.

Suggested Citation

  • Binner, Jane & Elger, Thomas & de Peretti, Philipe, 2002. "Is UK Risky Money Weakly Separable? A Stochastic Approach," Working Papers 2002:13, Lund University, Department of Economics.
    • Handle: RePEc:hhs:lunewp:2002_013
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Monetary Aggregation; Weak Separability; Risk;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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