A BEJM Topics article.

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 have increased the liquidity of risky assets and recent developments in monetary aggregation theory have made it possible to account for interest rate risk in combination with risk aversion in the construction of monetary services indices. Coefficient estimates for all systems are consistent with theory and remarkably stable. No apparent gains are noted, however, by the inclusion of 'risky' assets.

Submitted: June 19, 2003 · Accepted: January 19, 2004 · Published: March 11, 2004

Originally published in Topics in Macroeconomics.

Recommended Citation

Elger, Thomas and Binner, Jane M. (2004) "The UK Household Sector Demand for Risky Money," Topics in Macroeconomics: Vol. 4 : Iss. 1, Article 3.
Available at: http://www.bepress.com/bejm/topics/vol4/iss1/art3