Evidence that risk adjustment is unnecessary in estimates of the User cost of money
| dc.citation.epage | 70 | |
| dc.citation.issue | 41 | |
| dc.citation.journalAbbreviatedTitle | ecos.econ. | eng |
| dc.citation.journalTitle | Ecos de Economía: A Latin American Journal of Applied Economics | eng |
| dc.citation.spage | 49 | |
| dc.citation.volume | 19 | |
| dc.contributor.author | Restrepo-Tobón, Diego A. | |
| dc.date | 2015-12-01 | |
| dc.date.accessioned | 2016-09-15T13:18:04Z | |
| dc.date.available | 2016-09-15T13:18:04Z | |
| dc.date.issued | 2015-12-01 | |
| dc.description | Investors value the special attributes of monetary assets (e.g., exchangeability, liquidity, and safety) and pay a premium for holding them in the form of a lower return rate -- The user cost of holding monetary assets can be measured approximately by the difference between the returns on illiquid risky assets and those of safer liquid assets -- A more appropriate measure should adjust this difference by the differential risk of the assets in question -- We investigate the impact that time non-separable preferences has on the estimation of the risk-adjusted user cost of money -- Using U.K. data from 1965Q1 to 2011Q1, we estimate a habit-based asset pricing model with money in the utility function and find that the risk adjustment for risky monetary assets is negligible -- Thus, researchers can dispense with risk adjusting the user cost of money in constructing monetary aggregate indexes | |
| dc.format | application/pdf | |
| dc.format | text/html | |
| dc.identifier.doi | 10.17230/ecos.2015.41.3 | |
| dc.identifier.issn | 1657-4206 | |
| dc.identifier.uri | http://hdl.handle.net/10784/9163 | |
| dc.language.iso | eng | spa |
| dc.publisher | Universidad EAFIT | spa |
| dc.relation.ispartof | Ecos de Economía: A Latin American Journal of Applied Economics; Vol 19, No 41 (2015) | eng |
| dc.relation.isversionof | http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3346 | |
| dc.relation.uri | http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3346 | |
| dc.rights | Copyright (c) 2015 Diego A. Restrepo-Tobón | eng |
| dc.rights.accessrights | info:eu-repo/semantics/openAccess | eng |
| dc.rights.local | Acceso abierto | spa |
| dc.source | instname:Universidad EAFIT | |
| dc.source | reponame:Repositorio Institucional Universidad EAFIT | |
| dc.source | Ecos de Economía: A Latin American Journal of Applied Economics; Vol 19, No 41 (2015) | eng |
| dc.subject | E41 | |
| dc.subject | E51 | |
| dc.subject | G12 | |
| dc.subject | Formación de hábitos | |
| dc.subject | Costo de uso | |
| dc.subject.keyword | Money | |
| dc.subject.keyword | Capital assets pricing models | |
| dc.subject.keyword | Liquidity (economics) | |
| dc.subject.keyword | Value analysis (Cost control) | |
| dc.subject.lemb | MONEDA | |
| dc.subject.lemb | MODELOS DE VALORACIÓN DE ACTIVOS DE CAPITAL | |
| dc.subject.lemb | LIQUIDEZ | |
| dc.subject.lemb | ANÁLISIS DE VALORES (CONTROL DE COSTOS) | |
| dc.title | Evidence that risk adjustment is unnecessary in estimates of the User cost of money | |
| dc.title | Evidencia de que no es necesario ajustar por riesgo al estimar el costo de uso del dinero | |
| dc.type | info:eu-repo/semantics/article | eng |
| dc.type | info:eu-repo/semantics/publishedVersion | eng |
| dc.type | article | eng |
| dc.type | publishedVersion | eng |
| dc.type.local | Artículo | spa |