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The Stability of European Money Demand: An Investigation of M3H

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  • Wesche, Katrin

Abstract

The paper assesses the stability and predictive performance of a European money demand function as compared to national money demand functions. Two different groups of countries for a monetary union are considered. With respect to the explanatory accuracy, the national functions perform better than the aggregated function though the difference is barely significant. Examination of the residuals of the national money demand equations indicates that currency substitution is not the major cause for the stability of the aggregated money demand function.

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File URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb337.pdf
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Bibliographic Info

Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 337.

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Length: pages
Date of creation: Nov 1995
Date of revision:
Handle: RePEc:bon:bonsfb:337

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Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 6884
Web page: http://www.bgse.uni-bonn.de

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Keywords: demand for money; European Monetary Union; cointegration;

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References

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  2. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
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  5. repec:fth:banfra:16 is not listed on IDEAS
  6. Angeloni, Ignazio & Cottarelli, Carlo & Levy, Aviram, 1994. "Cross-border deposits, aggregation, and money demand in the transition to EMU," Journal of Policy Modeling, Elsevier, vol. 16(1), pages 27-54, February.
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  13. Wesche, Katrin, 1996. "Aggregation Bias in Estimating European Money Demand Functions," Discussion Paper Serie B 393, University of Bonn, Germany.
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Citations

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Cited by:
  1. repec:ebl:ecbull:v:15:y:2008:i:4:p:1-15 is not listed on IDEAS
  2. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques," Ruhr Economic Papers 0171, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  3. Philip Arestis & Malcolm Sawyer, 2001. "Will the Euro Bring Economic Crisis to Europe?," Macroeconomics 0103003, EconWPA.
  4. Abelardo Salazar Neaves & Oliver Hossfeld & Jan Hagen & Kai Carstensen, 2008. "Money Demand Stability and Inflation: Prediction in the Four Largest EMU Countries," Kiel Working Papers 1443, Kiel Institute for the World Economy.
  5. Müller, Christian & Hahn, Elke, 2000. "Money demand in Europe: Evidence from the past," SFB 373 Discussion Papers 2000,35, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  6. Giacomo Sbrana, 2008. "On the use of area-wide models in the Euro-zone," Statistical Methods and Applications, Springer, vol. 17(4), pages 499-518, October.
  7. Hamori, Shigeyuki & Hamori, Naoko, 2008. "Demand for money in the Euro area," Economic Systems, Elsevier, vol. 32(3), pages 274-284, September.
  8. von Hagen, Jürgen & Brückner, Matthias, 2001. "Monetary policy in unknown territory: The European Central Bank in the early years," ZEI Working Papers B 18-2001, ZEI - Center for European Integration Studies, University of Bonn.
  9. K.S.E.M. Hubrich & P.J.G. Vlaar, 2000. "Germany and the euro area: differences in the transmission process of monetary policy," WO Research Memoranda (discontinued) 613, Netherlands Central Bank, Research Department.
  10. Volker Clausen, 1998. "Money demand and monetary policy in Europe," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 134(4), pages 712-740, December.
  11. Browne, F.X. & Fagan, G. & Henry, J., 1997. "Money Demand in EU Countries : A Survey," Papers 7, European Monetary Institute.
  12. Markus Knell & Helmut Stix, 2003. "How Robustare Money Demand Estimations? A Meta-Analytic Approach," Working Papers 81, Oesterreichische Nationalbank (Austrian Central Bank).

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