Kelly, Logan J (2008): The Currency Equivalent Index and the Current Stock of Money.
There is a more recent version of this item available. 

PDF
MPRA_paper_7176.pdf Download (253kB)  Preview 
Abstract
The currency equivalent index provides an elegant method for measuring the stock of money, but it rests upon assumptions that do not match an important characteristic of the data. Thus, it is unclear what, if anything, the CE measures. This paper attempts to answer this question by deriving the current stock of money (CSM), which is defined to be the discounted present value of the monetary service flows provided by only the current portfolio of monetary assets, and then analyzing the assumptions under which the current stock of money can be measured by the currency equivalent index.
Item Type:  MPRA Paper 

Original Title:  The Currency Equivalent Index and the Current Stock of Money 
Language:  English 
Keywords:  Currency Equilivant Index, Monetary Aggregation, Money Stock 
Subjects:  C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C43  Index Numbers and Aggregation E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E49  Other 
Item ID:  7176 
Depositing User:  Logan Kelly 
Date Deposited:  15. Feb 2008 19:22 
Last Modified:  18. Feb 2013 19:00 
References:  Arrow, K. J. & Hahn, G. H. (1971), General Competitive Analysis, San Francisco: HoldenDay. Bai, J. & Ng, S. (2007),'Forecasting Economic Time Series Using Targeted Predictors', http://wwwpersonal.umich.edu/~ngse/papers/jointarget.pdf. Bai, J. & Ng, S. (2002), 'Determining the Number of Factors in Approximate Factor Models', Econometrica 70(1), 191221. Barnett, W. A. (1995),Exact Aggregation Under Risk, in William A. Barnett; Maurice Salles; HervĂ© Moulin & Norman Schofield, ed.,'Social Choice, Welfare and Ethics', Cambridge University Press, , pp. 353374. Reprinted in The Theory of Monetary Aggregation, William Barnett and Apostolos Serletis (eds.), 2000, Amsterdam: Elsevier, 195216.. Barnett, W. A. (1991),A Reply to Julio J. Rotemberg, in Michael T. Belongia, ed.,'Monetary Policy on the 75th Anniversary of the Federal Reserve System.', Kluwer, , pp. 189222. Reprinted in The Theory of Monetary Aggregation, William Barnett and Apostolos Serletis (eds.), 2000, Amsterdam: Elsevier, 296306.. Barnett, W. A. (1978), 'The User Cost of Money', Economics Letters 1(2), 145149. Reprinted in The Theory of Monetary Aggregation, William Barnett and Apostolos Serletis (eds.), 2000, Amsterdam: Elsevier, 610.. Barnett, W. A.; Chae, U. & Keating, J. W. (2005), 'The Discounted Economic Stock of Money with VAR Forecasting', Annals of Finance 2(2), 229258. Barnett, W. A.; Keating, J. & Kelly, L. J. (2008),'Toward a Bias Corrected Currency Equivalent Index'. Barnett, W. A.; Liu, Y. & Jensen, M. (1997), 'CAPM Risk Adjustment for Exact Aggregation Over Financial Assets', Macroeconomic Dynamics 1(2), 485512. Reprinted in The Theory of Monetary Aggregation, William Barnett and Apostolos Serletis (eds.), 2000, Amsterdam: Elsevier, 245273.. Beveridge, S. & Nelson, C. R. (1981), 'A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the Business Cycle.', Journal of Monetary Economics 7 (2), 151174. Blanchard, O. J. & Fischer, S. (1989), Lectures on Macroeconomics, Cambridge: MIT Press. Boivin, J. & Ng, S. (2006), 'Are More Data Always Better for Factor Analysis?', Journal of Econometrics 132(2), 169194. Cochrane, J. H. (2005), Asset Pricing, Revised Edition, Princeton: Princeton University Press. Doornik, J. A. (2006), OxAn Object Oriented Matrix Programming Language, London: Timberlake Consultants Press and Oxford: www.doornik.com. Efron, B.; Hastie, T.; Johnstone, I. & Tibshirani, R. (2004), 'Least angle regression', Annals of Statistics 32(2), 407499. Elliott, G.; Rothenberg, T. & Stock, J. (1996), 'Efficient Tests for an Autoregressive Unit Root', Econometrica 64(4), 813836. Elliott, J. W. & Baier, J. R. (1979), 'Econometric Models and Current Interest Rates: How Well do They Predict Future Rates?', The Journal of Finance 34 (4), 975986. Hutt, W. H. (1963), Keynesianism  Retrospect and Prospect, Chicago: Regnery. Nelson, C. R. & Plosser, C. I. (1982), 'Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications', Journal of Monetary Economics 10 (2), 139162. Pesando, J. (1979), 'On the Random Walk Characteristics of Short and LongTerm Interest Rates in an Efficient Market', Journal of Money, Credit, and Banking 11 (4), 457466. Rotemberg, J. J.; Driscoll, J. C. & Poterba, J. M. (1995), 'Money, Output, and Prices: Evidence from a New Monetary Aggregate', Journal of Business and Economic Statistics 13 (1), 6783. Sargent, T. (1976), 'A Classical Macroeconometric Model for the United States', Journal of Political Economy 84(2), 207237. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/7176 
Available Versions of this Item
 The Currency Equivalent Index and the Current Stock of Money. (deposited 15. Feb 2008 19:22) [Currently Displayed]