TY - JOUR
T1 - Sweep programs and optimal monetary aggregation
AU - Jones, Barry E.
AU - Dutkowsky, Donald H.
AU - Elger, Thomas
N1 - Funding Information:
We thank two anonymous referees for a number of helpful comments on a previous draft. The Appleby-Mosher Fund from the Maxwell School of Citizenship and Public Affairs at Syracuse University provided part of the funds for purchasing the dataset from Treasury Strategies. Thomas Elger and Barry Jones received funding for this project from the Jan Wallander and Tom Hedelius Foundation (J03/19). Thomas Elger has also received support from Nottingham Trent University (LTSI), where part of the research for this paper was carried out. We also thank Michael Hunstad and Chrystal Pozin from Treasury Strategies for providing us with helpful institutional information. We also thank Barry Cynamon, Florenz Plassman, and Philippe de Peretti for very helpful discussions, and the Research Department of Statistics Norway for comments in a seminar delivered there. Finally, we thank Craig Lawrence for helpful advice regarding FFSQP. Our findings and interpretations, though, do not necessarily conform to those of Treasury Strategies or any of the above parties.
PY - 2005/2
Y1 - 2005/2
N2 - This paper examines the admissibility of monetary aggregate groupings for the US over 1993-2001, based upon weak separability. We investigate the impact of retail and commercial demand deposit sweep programs on the separability of monetary asset groupings. Weak separability is tested using the Swofford-Whitney and Fleissig-Whitney tests. We use Varian's measurement error adjustment procedure to eliminate violations of the Generalized Axiom of Revealed Preference (GARP). When funds from both retail and commercial demand deposit sweep programs are placed within checkable deposits, all groupings, narrow and broad, pass GARP and weak separability. For groupings based on conventional money measures, tests tend to favor broad aggregates.
AB - This paper examines the admissibility of monetary aggregate groupings for the US over 1993-2001, based upon weak separability. We investigate the impact of retail and commercial demand deposit sweep programs on the separability of monetary asset groupings. Weak separability is tested using the Swofford-Whitney and Fleissig-Whitney tests. We use Varian's measurement error adjustment procedure to eliminate violations of the Generalized Axiom of Revealed Preference (GARP). When funds from both retail and commercial demand deposit sweep programs are placed within checkable deposits, all groupings, narrow and broad, pass GARP and weak separability. For groupings based on conventional money measures, tests tend to favor broad aggregates.
KW - Commercial demand deposit sweep programs
KW - GARP
KW - Monetary aggregation
KW - Non-parametric tests
KW - Retail sweep programs
KW - Weak separability
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U2 - 10.1016/j.jbankfin.2004.05.016
DO - 10.1016/j.jbankfin.2004.05.016
M3 - Article
AN - SCOPUS:10244260309
SN - 0378-4266
VL - 29
SP - 483
EP - 508
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 2
ER -