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
29 pages, April 30, 2002
Full text files
WP02_13.pdf
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