Divisia Second Moments: An Application of Stochastic Index Number Theory

W. A. Barnett originated the Divisia monetary aggregates, using Diewert's results on superlative index numbers and Barnett's derivation of the user cost of monetary asset services. The resulting Divisia index can be interpreted as a first moment aggregating over growth rates with expenditure shares serving as probabilities. But Theil showed that there are analogous higher order Divisia moments providing distributional information. In this paper we use the Divisia second moments to investigate distributional information in the monetary aggregate growth rates and to measure aggregation error in the Divisia first moments.

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Year of publication:	2008-06-12
Authors:	Barnett, William A. ; Jones, Barry E. ; Nesmith, Travis D.

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Barnett, William A. and Jones, Barry E. and Nesmith, Travis D. (2008): Divisia Second Moments: An Application of Stochastic Index Number Theory.
Classification:	E51 - Money Supply; Credit; Money Multipliers ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E01 - Measurement and Data on National Income and Product Accounts and Wealth ; E4 - Money and Interest Rates ; G0 - Financial Economics. General ; E41 - Demand for Money ; C1 - Econometric and Statistical Methods: General
Source:	BASE

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015262628