Barnett, William A. and Keating, John W. and Kelly, Logan (2007): Toward a Bias Corrected Currency Equivalent Index.
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Measuring the economic stock of money, defined to be the present value of current and future monetary service flows, is a difficult asset pricing problem, because most monetary assets yield interest. Thus, an interest yielding monetary asset is a joint product: a durable good providing a monetary service flow and a financial asset yielding a return. The currency equivalent index provides an elegant solution, but it does so by making strong assumptions about expectations of future monetary service flows. These assumptions cause the currency equivalent index to exhibit significant downward bias. In this paper, we propose an extension to the currency equivalent index that will correct for a significant amount of this bias.
|Item Type:||MPRA Paper|
|Original Title:||Toward a Bias Corrected Currency Equivalent Index|
|Keywords:||Currency equivalent index, monetary aggregation, money stock|
|Subjects:||E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E41 - Demand for Money|
|Depositing User:||William A. Barnett|
|Date Deposited:||29. Nov 2007 14:27|
|Last Modified:||18. Feb 2013 05:00|
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