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A small monetary system for the euro area based on German data Author info | Abstract | Publisher info | Download info | Related research | Statistics Helmut Lütkepohl (European University Institute, Florence, Italy)
Ralf Brüggemann (Humboldt-Universität Berlin, Berlin, Germany)
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Previous euro area money demand studies have used aggregated national time series data from the countries participating in the European Monetary Union (EMU). However, aggregation may be problematic because macroeconomic convergence processes have taken place in the countries of interest. Therefore, in this study, quarterly German data until 1998 are combined with data from the euro area from 1999 until 2002 and these series are used for fitting a small vector error correction model for the monetary sector of the EMU. A stable long-run money demand relation is found for the full sample period. Moreover, impulse responses do not change much when the sample period is extended by the EMU period provided the break in the extended data series is captured by a simple dummy variable. Copyright © 2006 John Wiley & Sons, Ltd.
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics .
Volume (Year): 21 (2006)
Issue (Month): 6 ()
Pages: 683-702
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Handle: RePEc:jae:japmet:v:21:y:2006:i:6:p:683-702Contact details of provider: Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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repec:cup:macdyn:v:5:y:2001:i:1:p:81-100 is not listed on IDEAS
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Massimiliano Marcellino & Christian Schumacher, 2008.
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Working Papers
333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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Discussion Paper Series 1: Economic Studies
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CEPR Discussion Papers
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[Downloadable!] (restricted) Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2006.
"Forecasting Euro-Area Variables with German Pre-EMU Data ,"
SFB 649 Discussion Papers
SFB649DP2006-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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