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European Money Demand and the Role of UK for its Stability: A Cointegration Analysis


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  • Andreas Beyer

    (University of Copenhagen Institute of Economics)


This paper develops equilibrium correction models for money demand of European-wide monetary aggregates based on a multivariate cointegration analysis. It will be shown that whether or not the UK is a member of the monetary union does not affect the empirical stability of area-wide money demand models. However, there is evidence that the properties of a money demand model for an area that previously did not include UK might change just when the UK will join the union. The models' dynamics and the superexogeneity status of output are different in models that do contain UK in their areas compared with those which do not.

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Bibliographic Info

Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 98-07.

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Length: 31 pages
Date of creation: Jun 1998
Date of revision:
Handle: RePEc:kud:kuiedp:9807

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Related research

Keywords: area-wide European money demand; cointegration; parameter stability; super exogeneity;

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