Scandinavian Working Papers in Economics

Working Papers,
Lund University, Department of Economics

No 2002:13: Is UK Risky Money Weakly Separable? A Stochastic Approach

Jane Binner (), Thomas Elger and Philipe de Peretti
Additional contact information
Jane Binner: Sheffield University
Thomas Elger: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden
Philipe de Peretti: Université de Paris 1, Postal: Panthéon, Sorbonne, Paris, France

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

JEL-codes: C43; D11; D12; E41

29 pages, April 30, 2002

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WP02_13.pdf PDF-file 

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