New Approaches to Monetary Economics brings together presentations of innovative research in the field of monetary economics. Much of this research develops and applies approaches to modelling financial intermediation, aggregate fluctuations, monetary aggregation and transactions-motivated monetary equilibrium. The contents of this volume comprise the proceedings of the second in a conference series entitled International Symposia in Economic Theory and Econometrics. This conference was held in 1985 at the IC2 Institute at the University of Texas at Austin. The symposia in this series are sponsored by the IC2 Institute and the RGK Foundation. New Approaches to Monetary Economics, edited by Professors William A. Barnett and Kenneth J. Singleton, consists of five parts. Part I examines transactions-motivated monetary holding in general equilibrium; Part II, financial intermediation; Part III, monetary aggregation theory, Part IV, issues in aggregate fluctuation; and Part V, theoretical issues in the foundations of monetary economics and macroeconomics.

Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities.

Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures.

As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.