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Department of Economics, Lund University Working Papers, Department of Economics, Lund University

No 2002:9:
The UK Personal Sector Demand for Risky Money

Jane Binner () and Thomas Elger

Abstract: This study compares the empirical performance of a capital certain Divisia index and an index that is extended to contain assets with substantial interest rate risk, such as unit trusts, within a cointegration money demand framework. Financial innovations have increased the liquidity of risky assets and recent developments in monetary aggregation theory have made it possible to account for interest rate risk in combination with risk aversion in the construction of monetary services indices. The coefficient estimates for both the capital certain and risky systems are consistent with theory and remarkably stable.

Keywords: Divisia; Risk; Money Demand; (follow links to similar papers)

JEL-Codes: C43; C52; E41; (follow links to similar papers)

36 pages, March 11, 2002

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This paper is published as:
Elger, Thomas and Jane Binner, (2004), 'The UK Household Sector Demand for Risky Money', Topics in Macroeconomics, Vol. 4, No. 1



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