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User costs and expenditure shares of monetary assets

Source: R/analyses.R
dmai_user_cost.Rd

dmai_user_cost() gives, for every date and component, the rate, the user cost \(\pi_{it} = (R_t - r_{it})/(1 + R_t)\) (Barnett 1978) and the share of the component in the expenditure on monetary services, the weights of the Divisia index.

Usage

dmai_user_cost(
  .data,
  date = "Date",
  x = NULL,
  r = NULL,
  benchmark = NULL,
  percent = TRUE
)

# Default S3 method
dmai_user_cost(
  .data,
  date = "Date",
  x = NULL,
  r = NULL,
  benchmark = NULL,
  percent = TRUE
)

Arguments

.data

a data frame with one row per date: a date column and, for every component, a quantity column and a rate column (named x1, x2, ... and r1, r2, ... unless x and r are given).

date

name of the date column (default "Date").

x

names of the quantity columns (default NULL: x1, x2, ...).

r

names of the rate columns, in the order of x (default NULL: r1, r2, ...).

benchmark

the benchmark rate: NULL (default, the largest component rate), a column name, a number or one value per row of .data, in the units of the rates.

percent

logical; are the rates in percent (default TRUE) or decimal?

Value

An object of class c("dmai_user_cost", "dmai_result", "list"): components (date, component, quantity, rate, user cost, share), benchmark (the benchmark rate and whether the upper envelope raised it) and settings. plot() draws the shares over time.

References

Barnett, W. A. (1978). The user cost of money. Economics Letters, 1(2), 145–149. doi:10.1016/0165-1765(78)90051-4

See also

Other dmai analyses: dmai(), dmai_compare(), dmai_moments()

Author

Muhammad Yaseen (myaseen208@gmail.com)

Examples

data(money_sim)
uc <-
  dmai_user_cost(
      .data     = money_sim
    , date      = "Date"
    , x         = NULL
    , r         = NULL
    , benchmark = "rb"
    , percent   = TRUE
    )
uc
#> User costs of 8 components, 240 dates
#> =====================================
#> Averages over the dates:
#>    component mean_rate mean_user_cost mean_share last_share
#>       <fctr>     <num>          <num>      <num>      <num>
#> 1:        x1     0.000        0.08124    0.22914    0.19497
#> 2:        x2     0.000        0.08124    0.20366    0.18827
#> 3:        x3     3.050        0.05360    0.30779    0.28085
#> 4:        x4     4.903        0.03662    0.07486    0.09851
#> 5:        x5     5.414        0.03193    0.05076    0.06799
#> 6:        x6     5.921        0.02727    0.06106    0.08527
#> 7:        x7     6.647        0.02059    0.04325    0.06416
#> 8:        x8     1.316        0.06916    0.02949    0.01998
#> 
#> Sources: Barnett (1978). Full references: dmai_cite(x).
plot(x = uc)