Barnett, William A. and Liu, Jia and Mattson, Ryan S. and van den Noort, Jeff (2012): The new CFS Divisia monetary aggregates: design, construction, and data sources.
Download (1544Kb) | Preview
The Center for Financial Stability (CFS) has initiated a new Divisia monetary aggregates database, maintained within the CFS program called Advances in Monetary and Financial Measurement (AMFM). The Director of the program is William A. Barnett, who is the originator of Divisia monetary aggregation and more broadly of the associated field of aggregation-theoretic monetary aggregation. The international section of the AMFM web site is a centralized source for Divisia monetary aggregates data and research for over 40 countries throughout the world. The components of the CFS Divisia monetary aggregates for the United States reflect closely those of the current and former simple-sum monetary aggregates provided by the Federal Reserve. The first five levels, M1, M2, M2M, MZM, and ALL, are composed of currency, deposit accounts, and money market accounts. The liquid asset extensions to M3, M4-, and M4 resemble in spirit the now discontinued M3 and L aggregates, including repurchase agreements, large denomination time deposits, commercial paper, and Treasury bills. When the Federal Reserve discontinued publishing M3 and L, the Fed stopped providing the consolidated, seasonally adjusted components. Also the Fed no longer provides the interest rates on the components. With so much of the needed component quantity and interest-rate data no longer available from the Federal Reserve, decisions about data sources needed in construction of the CFS aggregates have been far from easy and sometimes required regression interpolation. This paper documents the decisions of the CFS regarding United States data sources at the present time, with particular emphasis on Divisia M3 and M4.
|Item Type:||MPRA Paper|
|Original Title:||The new CFS Divisia monetary aggregates: design, construction, and data sources|
|Keywords:||Divisia monetary aggregates; monetary aggregation; index number theory; financial aggregation; data source|
|Subjects:||E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E51 - Money Supply; Credit; Money Multipliers
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology; Computer Programs > C80 - General
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E41 - Demand for Money
|Depositing User:||William A. Barnett|
|Date Deposited:||21. May 2012 17:51|
|Last Modified:||13. Feb 2013 10:36|
Anderson, R. G., & Jones, B. E. (2011). A Comprehensive Revision of the US Monetary Services (Divisia) Indexes. Federal Reserve Bank of St. Louis Review, 93(5), 235-59.
Anderson, R. G., & Rasche, R. H. (2001). Retail Sweeps Prorams and Bank Reserves 1994 - 1999. Federeal Reserve Bank of St. Louis Review, 83(1), 51-72.
Anderson, R. G., Jones, B. E., & T.D., N. (1997). Building New Monetary Services Indexes: Concepts, Data, and Methods. Federal Reserve Bank of St. Louis Review, 79.1, 53-82.
Anderson, R., & Buol, J. (2005, November/December). Revisions to User Costs for the Federal Reserve Bank of St. Louis Monetary Services. Federal Reserve Bank of St. Louis Review, 87(6), 735-749.
Bankrate.com. (2012). Track Economic Index Trends and Graph Financial Industry Rates. Retrieved from http://www.bankrate.com/funnel/graph/
Barnett, W. (1980). Economic Monetary Aggregates: An Application of Index Number and Aggregation Theory. Journal of Econometrics, 14, 11-48. Reprinted in Barnett and Serletis (2000), Chapter 2, pp. 11-48.
Barnett, W. (1982). The Optimal Level of Monetary Aggregation. Journal of Money, Credit, and Banking, 14, 687-710. Reprinted in Barnett and Serletis (2000), Chapter 7, pp. 125-149.
Barnett, W. (2012). Getting it Wrong: How Faulty Monetary Statistics Undermine the Fed, the Financial System, and the Economy. Cambridge, MA: MIT Press.
Barnett, W., & Serletis, A. (2000). The Theory of Monetary Aggregation. Amsterdam: North-Holland.
Barnett, W., & Spindt, P. (1982, May). Divisia Monetary Aggregates: Compilation, Data, and Historical Behavior. Board of Governors of the Federal Reserve System Staff Study, 116.
Belongia, M., & Ireland, P. (2012). Where Simple Sum and Divisia Monetary Aggregates Part: Illustrations and Evidence for the United States. University of Mississippi, working paper.
Cynamon, B., Dutkowsky, D., & Jones, B. (2006, Fall). Redefining the Monetary Aggregates: A Clean Sweep. Eastern Economic Journal, 32(4), 661-672.
Diewert, W. (1999). Index Number Approaches to Seasonal Adjustment. Macroeconomic Dynamics, 3, 48-68.
European Central bank. (2000). Seasonal Adjustment of Monetary Aggregates and HICP for the Euro Area. Frankfurt, Germany: European Central Bank.
Federal Reserve Bank of New York. (2012). Primary Dealer Statistics XML Data. Retrieved from http://www.newyorkfed.org/xml/gsds_finance.html
Federal Reserve Board. (2003, March 23). Federal Reserve Statistical Release: H.6-Monety Stock Measures. Retrieved from Discontinuance of M3.: www.federalreserve.gov/releases/h6/20060323
Federal Reserve Board of Governors. (n.d.). Statistics and Historical Data. Retrieved 2012, from http://www.federalreserve.gov/releases/h8/current/default.htm
Hanke, S. (2011, October). Malfeasant Central Bankers, Again. Energy Tribune.
Hanke, S. (2011, December). The Whigs Versus the Schoolboys. Globe Asia, 20-22.
Jones, B., Dutkowsky, D., & Elger, T. (2005). Sweep programs and optimal monetary aggregation. Journal of Banking & Finances, 29, 483-508.
Serletis, A., & Gogas, P. (2012). Divisia Monetary Aggregates for Moentary Policy and Business Cycle Analysis. University of Calgary, working paper.
Thornton, D., & Yue, P. (1992, November/December). An Extended Series of Divisia Monetary Aggregates. Federal Reserve Bank of St. Louis Review, 74(6), 35-52.
Thorp, J. (2003). Change of seasonal adjustment method to X-12 ARIMA. Monetary and Financial Statistics, 4-8.
TreasuryDirect. (2012). Monthly Statement of the Public Debt (MSPD) and Downloadable Files. Retrieved 2012, from http://www.treasurydirect.gov/govt/reports/pd/mspd/mspd.htm
United States Census Bureau. (2012, April). X-12 Arima. Retrieved April 2012, from US Census Bureau: http://www.census.gov/srd/www/x12a/