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A money demand system for euro area M3

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Author Info
Claus Brand
Nuno Cassola
Abstract

In order to assess the importance of monetary and financial developments for key macroeconomic variables in the euro area a money demand system for M3 is estimated adopting a structural cointegrating VAR approach. While maintaining a good statistical representation of the data, long-run relationships are based on economic theory. By using generalized response profiles the dynamics of the money demand system is investigated without any further identifying assumptions. Error bounds of the profiles are derived using bootstrap simulations.

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Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 36 (2004)
Issue (Month): 8 (May)
Pages: 817-838
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Handle: RePEc:taf:applec:v:36:y:2004:i:8:p:817-838

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  2. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers 1802, Econometric Society, revised 08 Nov 2000. [Downloadable!]
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  3. Pesaran, M. H. & Smith, Ron P., 1998. "Structural Analysis of Cointegrating VARs," Cambridge Working Papers in Economics 9811, Faculty of Economics, University of Cambridge.
    Other versions:
  4. Shiller, Robert J & Siegel, Jeremy J, 1977. "The Gibson Paradox and Historical Movements in Real Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 891-907, October. [Downloadable!] (restricted)
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  6. Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, 04. [Downloadable!] (restricted)
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  7. H. Lütkepohl & J. Wolters, . "A Money Demand System for M3 in the Unified Germany," Sonderforschungsbereich 373 1997-92, Humboldt Universitaet Berlin.
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  13. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January. [Downloadable!] (restricted)
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  15. Lawrence J. Christiano & Martin Eichenbaum, 1991. "Identification and the Liquidity Effect of a Monetary Policy Shock," NBER Working Papers 3920, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  17. Günter Coenen & Juan-Luis Vega, 1999. "The demand for M3 in the euro area," Working Paper Series 6, European Central Bank. [Downloadable!]
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  19. Garratt, Anthony & Lee, Kevin C & Pesaran, M. Hashem & Shin, Yongcheol, 1998. "A Structural Cointegrating VAR Approach to Macroeconometric Modelling," Cambridge Working Papers in Economics 9823, Faculty of Economics, University of Cambridge.
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  20. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Christian Dreger & Jürgen Wolters, 2008. "M3 Money Demand and Excess Liquidity in the Euro Area," Working Paper / FINESS 7.1a, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    Other versions:
  2. Christian Dreger & Jürgen Wolters, 2008. "Money Velocity and Asset Prices in the Euro Area," Working Paper / FINESS 7.1b, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    Other versions:
  3. Laurence Boone & Paul Noord, 2008. "Wealth effects on money demand in the euro area," Empirical Economics, Springer, vol. 34(3), pages 525-536, June. [Downloadable!] (restricted)
  4. Dino Martellato, 2006. "Inflation and Growth in the Euro Zone," Working Papers 2006_52, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  5. Setzer, Ralph & Wolff, Guntram B., 2009. "Money demand in the euro area: new insights from disaggregated data," MPRA Paper 17483, University Library of Munich, Germany. [Downloadable!]
  6. Dino Martellato, 2008. "Economic Integration and Macroeconomic Convergence in the Euro Area," Working Papers 2008_34, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  7. Roberto A. De Santis & Carlo A. Favero & Barbara Roffia, 2008. "Euro area money demand and international portfolio allocation - a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank. [Downloadable!]
  8. Gillman, Max & Cziráky, Dario, 2005. "Money Demand in an EU Accession Country: A VECM Study of Croatia," Cardiff Economics Working Papers E2005/7, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
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  9. Fidrmuc, Jarko, 2006. "Money Demand and Disinflation in Selected CEECs during the Accession to the EU," Discussion Papers in Economics 1232, University of Munich, Department of Economics. [Downloadable!]
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  10. Christian Dreger & Jürgen Wolters, 2006. "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin 561, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  11. Barry E. Jones & Livio Stracca, 2006. "Are money and consumption additively separable in the euro area? A non-parametric approach," Working Paper Series 704, European Central Bank. [Downloadable!]
  12. Miguel Lebre de Freitas, 2006. "Currency Substitution and Money Demand in Euroland," Atlantic Economic Journal, International Atlantic Economic Society, vol. 34(3), pages 275-287, September. [Downloadable!] (restricted)
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  13. Dino Martellato, 2006. "Growth and Inflation Disparities in Corridor V," Working Papers 2006_19, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
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