Munich Personal RePEc Archive

Toward a Bias Corrected Currency Equivalent Index

Kelly, Logan and Barnett, William A. and Keating, John (2007): Toward a Bias Corrected Currency Equivalent Index.

There is a more recent version of this item available.
[thumbnail of MPRA_paper_4786.pdf]

Download (227kB) | Preview


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.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.