The discounted economic stock of money with VAR forecasting

DOI10.1007/s10436-006-0038-yzbMath1233.91213OpenAlexW2057971825MaRDI QIDQ665721

John W. Keating, Unja Chae, William A. Barnett

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0038-y

zbMATH Keywords

monetary aggregationBayesian vector autoregressionasymmetric vector autoregressioncurrency equivalent indexdivisia money aggregateeconomic stock of moneyuser cost of money

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

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Cites Work

• On user costs of risky monetary assets
• Economic monetary aggregates. An application of index number and aggregation theory
• Exact and superlative index numbers
• CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS
• Forecasting and conditional projection using realistic prior distributions

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