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A money demand system for euro area M3

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  • Brand, Claus
  • Cassola, Nuno
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    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 generalised 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. JEL Classification: C32, E41

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    Bibliographic Info

    Paper provided by European Central Bank in its series Working Paper Series with number 0039.

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    Date of creation: Nov 2000
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    Handle: RePEc:ecb:ecbwps:20000039

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    Related research

    Keywords: Fisher hypothesis; Money demand; response profiles; Structural cointegrated VAR; Term structure;

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