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  • Ryan S. Mattson (a1) and Philippe de Peretti (a2)

In this paper, we use the weak separability criterion to check for the existence of six different monetary aggregates reported by the Center of Financial Stability (CFS). We implement an extended version of the semi-nonparametric tests introduced by Barnett and de Peretti on US monthly data from January 1967 to December 2012. The test, first, checks for the necessary existence conditions of an overall utility function and a monetary subutility function, and then tests for the separability of the latter. On different subsamples, our results suggest that only the DM1 aggregate meets the separability criterion. Implemented on macroeconomic data, we have tested a joint assumption about separability and the existence of a representative agent. Thus, the rejection of the null could also be due to the rejection of stringent Gorman's conditions. More advanced tests for weak separability are clearly required to confirm the results found in this paper.

Corresponding author
Address correspondence to: Philippe de Peretti, Centre d'Economie de la Sorbonne (CES), Université Paris1 Panthéon-Sorbonne, 106-112 Boulevard de l'Hôpital, 75013 Paris, France; e-mail:
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The research leading to these results has received funding from the European Union Seventh Framework Programme (FP7-SSH/2007-2013) under grant agreement no. 320270 SYRTO. This work was achieved through the Laboratory of Excellence on Financial Regulation (Labex ReFi) supported by PRES heSam under the reference ANR10LABX0095. It benefited from French government support managed by the National Research Agency (ANR) within the project Investissements d'Avenir Paris Nouveaux Mondes (investments for the future Paris New Worlds) under the reference ANR11IDEX000602.

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Macroeconomic Dynamics
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