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Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach
dc.contributor.author | Barnett, William A. | |
dc.contributor.author | Chauvet, Marcelle | |
dc.contributor.author | Tierney, Heather L. R. | |
dc.date.accessioned | 2014-03-03T19:37:49Z | |
dc.date.available | 2014-03-03T19:37:49Z | |
dc.date.issued | 2009-09-01 | |
dc.identifier.citation | Barnett, William. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," with Marcelle Chauvet and Heather Tierney, Macroeconomic Dynamics, vol 13, Supplement 2, 2009, September, pp. 381-412. http://dx.doi.org/10.1017/S1365100509090166 | |
dc.identifier.uri | http://hdl.handle.net/1808/13145 | |
dc.description | This is the author's final draft of an article for which the publisher's official version is available electronically from: http://dx.doi.org/10.1017/S1365100509090166 | |
dc.description.abstract | This paper compares the different dynamics of the simple-sum monetary aggregates and the Divisia monetary aggregate indices over time, over the business cycle, and across high and low inflation and interest-rate phases. Although traditional comparisons of the series sometimes suggest that simple-sum and Divisia monetary aggregates share similar dynamics, there are important differences around turning points that cannot be evaluated by their average behavior. We use a factor model with a regime-switching model that separates the common movements underlying the monetary aggregate indices from idiosyncratic variations in each series. We find that the major differences between the simple-sum aggregates and Divisia indices occur around the beginnings and ends of recessions and during some high-interest-rate phases. We note the inferences' policy relevance, which is particularly dramatic at the broadest (M3) level of aggregation. Indeed, as Belongia [Journal of Political Economy, 104 (5) (1996), 1065–1083] has observed in this regard, “measurement matters.” | |
dc.publisher | Cambridge University Press | |
dc.subject | Measurement error | |
dc.subject | Monetary aggregation | |
dc.subject | Divisia index | |
dc.subject | Aggregation | |
dc.subject | State space | |
dc.subject | Markov switching | |
dc.subject | Monetary policy | |
dc.subject | Index number theory | |
dc.subject | Factor models | |
dc.title | Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach | |
dc.type | Article | |
kusw.kuauthor | Barnett, William A. | |
kusw.kudepartment | Economics | |
kusw.oastatus | fullparticipation | |
dc.identifier.doi | 10.1017/S1365100509090166 | |
dc.identifier.orcid | https://orcid.org/0000-0002-1280-2663 | |
kusw.oaversion | Scholarly/refereed, author accepted manuscript | |
kusw.oapolicy | This item meets KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess |