Recent Monetary Policy and the Credit Card-Augmented Divisia Monetary Aggregates

40 Pages Posted: 11 May 2020

See all articles by Jinan Liu

Jinan Liu

University of Calgary - Department of Economics

Cosmas Dery

University of Calgary, Students

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: April 16, 2020

Abstract

The main objective of this paper is to examine the information content of the credit card-augmented Divisia monetary aggregates and credit card-augmented Divisia inside monetary aggregates, recently produced by the Center for Financial Stability. We compare the inference ability of the credit card-augmented Divisia monetary aggregates and credit card-augmented Divisia inside monetary aggregates to the conventional Divisia monetary aggregates, at all levels of monetary aggregation. Using cyclical correlations analysis and Granger causality tests, we find that both the conventional Divisia monetary aggregates and the credit card-augmented Divisia monetary aggregates are informative in predicting output. Moreover, during, and in the aftermath of the 2007-2009 financial crisis, the credit card-augmented Divisia measures of money are more informative when predicting real economic activity than the conventional Divisia monetary aggregates. We also find that broad Divisia monetary aggregates provide better measures of the flow of monetary services generated in the economy.

Keywords: Money and business cycles, Divisia monetary aggregates, Credit card-augmented Divisia monetary aggregates.

JEL Classification: E4, E31, E32, E51, E52, E58

Suggested Citation

Liu, Jinan and Dery, Cosmas and Serletis, Apostolos, Recent Monetary Policy and the Credit Card-Augmented Divisia Monetary Aggregates (April 16, 2020). Available at SSRN: https://ssrn.com/abstract=3577387 or http://dx.doi.org/10.2139/ssrn.3577387

Jinan Liu

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada

Cosmas Dery

University of Calgary, Students ( email )

Canada

Apostolos Serletis (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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