The Tests for Weak Separability of Monetary Assets in China:The Feasibility Study for Divisia Monetary Aggregates in China
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| Title | The Tests for Weak Separability of Monetary Assets in China:The Feasibility Study for Divisia Monetary Aggregates in China
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| Author | Du Haoran and Huang Guitian |
| Organization | School of Economics, Peking University |
| Email | duhaoran8899@163.com；huanggt@pku.edu.cn |
| Key Words | Monetary Assets; Weak Separability; Divisia Monetary Aggregates; DSGE Model; Stochastic Semi-nonparametric Test |
| Abstract | The weighted-sum Divisia monetary aggregates can measure the accurate measurement of monetary liquidity, which are different from the simple-sum monetary amount. This paper checks the prerequisites whether Divisia monetary aggregates can be used in China. We use the dynamic stochastic general equilibrium framework and maximum likelihood estimation, concluding that the monetary assets in M2 are weakly separable from general commodity consumption. After that, we use the stochastic semi-nonparametric test and find the monetary assets in M1 and M2- (which contain all the assets in M2 except time deposits and other deposits) are weakly separable. In general, we show the prerequisites to construct Divisia monetary aggregates for some certain monetary assets in China, which can be taken into account by China’s central bank. |
| Serial Number | WP970 |
| Time | 2015-12-01 |
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