49 research outputs found
Monetary aggregation theory and statistical index numbers
No full textThis paper is the first of two from the Monetary Services Indices (MSI) Project at the Federal Reserve Bank of St. Louis. The second paper, Working Paper 96-008B, summarizes the methodology, construction and data sources for the an extensive new database of monetary services indices, often referred to as Divisia monetary aggregates, for the United States. This paper surveys the microeconomic theory of the aggregation of monetary assets, bringing together results that are not otherwise readily available in a single source. In addition to indices of the flow of monetary services, the Project's database contains dual user cost indices, measures of potential aggregation error in the monetary services indices, and measures of the stock of monetary wealth. An overview of the Project and the concept of monetary aggregation is included here as a preface. ; Earlier title: An introduction to monetary aggregation theory and statistical theory and statistical index numbersMonetary theory
Is Macroeconomics a Science?
No full textThis paper was written as the first draft of the invited Foreword for the book, Money and the Economy, by Apostolos Serletis. The paper provides a critical view of those areas in which methodology in economics deviates from that in the physical sciences, provides examples and illustrations of those deviations, and emphasizes those areas of and approaches to economic research that most closely correspond with the nature of research in the physical sciences.science; social science; politics; Federal Reserve; monetary policy
Building new monetary services indices: methodology and source data
No full textThis paper is second of two from the Monetary Services Indices (MSI) Project at the Federal Reserve Bank of St. Louis. The first paper, Working Paper 96-007B, surveys the microeconomic theory of the aggregation of monetary assets. This paper describe a new database of monetary services indices (MSI) for the United States. The MSI measure the flow of monetary services received each period by households from their holdings of monetary assets; the levels of the indices are often also referred to as Divisia monetary aggregates. In addition to indices of the flow of monetary services, the database contains dual user cost indices, measures of potential aggregation error in the monetary services indices, and measures of the stock of monetary wealth. An overview of the Project and the concept of monetary aggregation is included here as a preface.Monetary theory
Solving stochastic money-in-the-utility-function models
No full textThis paper analyzes the necessary and sufficient conditions for solving money-in-the-utility-function models when contemporaneous asset returns are uncertain. A unique solution to such models is shown to exist under certain measurability conditions. Stochastic Euler equations, whose existence is normally assumed in these models, are then formally derived. The regularity conditions are weak, and economically innocuous. The results apply to the broad range of discrete-time monetary and financial models that are special cases of the model used in this paper. The method is also applicable to other dynamic models that incorporate contemporaneous uncertainty.Capital assets pricing model ; Stochastic analysis ; Econometric models ; Uncertainty ; Money
Revisions to user costs for the Federal Reserve Bank of St. Louis monetary services indices
No full textThis analysis discusses recent changes to the user cost figures that are computed as part of the Federal Reserve Bank of St. Louis monetary services indices (MSI). The authors first introduce an alternative splicing procedure, robust to differences in scale between series, for those price subindices which, individually, have a time span shorter than the overall MSI but are spliced to span the entire period. They then correct an error in the calculation of user costs for money market mutual funds that caused these funds' user costs to be based, for a considerable period of time, on the last-reported value for one input data series. Finally, the authors also restore the yield-curve adjustment for composite assets, which they removed from published data during 2004 as they explored the unusual behavior of the user cost data for small-denomination time deposits.Federal Reserve Bank of St. Louis ; Monetary theory
Rational seasonality
No full textSeasonal adjustment usually relies on statistical models of seasonality that treat seasonal fluctuations as noise corrupting the `true' data. But seasonality in economic series often stems from economic behavior such as Christmas-time spending. Such economic seasonality invalidates the separability assumptions that justify the construction of aggregate economic indexes. To solve this problem, Diewert(1980,1983,1998,1999) incorporates seasonal behavior into aggregation theory. Using duality theory, I extend these results to a larger class of decision problems. I also relax Diewert's assumption of homotheticity. I provide support for Diewert's preferred seasonally-adjusted economic index using weak separability assumptions that are shown to be sufficient.Seasonal variations (Economics) ; Consumer behavior
The self-esteem of children from single parent and two parent homes between the ages 10-15 years old, 1994
No full textThis study investigates the impact of race, age, gender, parental support, and the number of parents in the nuclear family and its effect on child and adolescent self-esteem. The correlation research design was used to determine if a relationship existed between the independent variable selfesteem and the dependent variables race, gender, level of parental support and the number of parents in the nuclear family. A simple random sample of 120 students was conducted. The two theories that were used with this study was Social Learning Theory and Symbolic Interaction. The major findings in the study concluded that there is a relationship between self-esteem of children and adolescents and race, gender, parental support and the number of parents in the nuclear family
Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
No full textWe provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least thirty other papers referencing it, including the recent survey by Nadarajah et al. (2014) on estimation methods for expected shortfall. In particular, we show that the correction we provide in the popular multivariate Student t setting eliminates understatement of expected shortfall by a factor varying from at least four to more than 100 across different tail quantiles and degrees of freedom. As such, the resulting economic impact in financial risk management applications could be significant. We further correct such errors encountered also in closely related results in Kamdem (2007 and 2009) for mixtures of elliptical distributions. More generally, our findings point to the extra scrutiny required when deploying new methods for expected shortfall estimation in practice
