This paper examines how retail sweep programs affect monetary asset substitution. Estimates from the Fourier flexible form reveal that sweeping generates systematic and sometimes large distortions in estimated bank depositor substitution elasticities.

This paper shows that changing the target Federal Funds rate induces changes in relative user costs of monetary assets. Estimated Morishima elasticities of substitution from the Fourier Flexible form reveal greater substitution from transactions assets and savings deposits into small time...

Standard non-parametric weak separability tests do not account for measurement errors in the data. We propose a method to determine if rejections of weak separability obtained using such tests can be attributed to random measurement errors in the quantity data.

This study focuses on sweep programs in establishing conceptually appropriate and reliable measures of narrow money. We propose the aggregates M1RS = M1 + holdings of funds swept in retail sweep programs, and M1S = M1RS + holdings of funds swept in commercial demand deposit sweep programs. Based...

Abstract We compare the empirical performance of a capital certain monetary services index and an index that is extended to contain assets with substantial interest rate risk, such as unit trusts, within a cointegration money demand framework for the UK. Technological changes and innovations...

Linear models reach their limitations in applications with nonlinearities in the data. In this paper new empirical evidence is provided on the relative Euro inflation forecasting performance of linear and non-linear models. The well established and widely used univariate ARIMA and multivariate...

Numerous studies find that monetary models of exchange rates cannot beat a random walk model. Such a finding, however, is not surprising given that such models are built upon money demand functions and traditional money demand functions appear to have broken down in many developed countries. In...

We compare the empirical performance of a capital certain monetary services index and an index that is extended to contain assets with substantial interest rate risk, such as unit trusts, within a cointegration money demand framework for the UK. Technological changes and innovations have...