Working Papers, Department of Economics, Lund University
Is UK Risky Money Weakly Separable? A Stochastic Approach
(), Thomas Elger and Philipe de Peretti
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.
Keywords: Monetary Aggregation; Weak Separability; Risk; (follow links to similar papers)
JEL-Codes: C43; D11; D12; E41; (follow links to similar papers)
29 pages, April 30, 2002
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Questions (including download problems) about the papers in this series should be directed to David Edgerton ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom