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

Author

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  • Andreas Beyer

    (University of Copenhagen Institute of Economics)

Abstract

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.

Suggested Citation

  • Andreas Beyer, 1998. "European Money Demand and the Role of UK for its Stability: A Cointegration Analysis," Discussion Papers 98-07, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:9807
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    File URL: http://www.econ.ku.dk/Research/Publications/pink/1998/9807.pdf
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    Cited by:

    1. Mike Artis & Andreas Beyer, 2004. "Issues in Money Demand: The Case of Europe," Journal of Common Market Studies, Wiley Blackwell, vol. 42(4), pages 717-736, November.
    2. Laura Rinaldi, "undated". "Payment Cards and Money Demand in Belgium," International Economics Working Papers Series ces0116, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.

    More about this item

    Keywords

    area-wide European money demand; cointegration; parameter stability; super exogeneity;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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