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European Integration and the Demand for Broad Money

  • Monticelli, Carlo
  • Strauss-Kahn, Marc-Olivier

Cointegration analysis and error-correction modeling show that a stable and predictable aggregate demand for broad money holds for the group of countries participating in the Exchange Rate Mechanism (ERM) of the European Monetary System. This result seems robust to different econometric techniques, samples, and methods of conversion of national variables into ECU. Furthermore, ERM-wide equations compare favorably with national equations and with the previous estimates of areawide equations for narrow money. These findings suggest that an areawide broad monetary aggregate can play a useful role in the coordination of monetary policy at the European level. Copyright 1993 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Article provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 61 (1993)
Issue (Month): 4 (December)
Pages: 345-66

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Handle: RePEc:bla:manch2:v:61:y:1993:i:4:p:345-66
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  1. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  2. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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  14. James M. Boughton, 1991. "Long-Run Money Demand in Large Industrial Countries," IMF Staff Papers, Palgrave Macmillan, vol. 38(1), pages 1-32, March.
  15. Hendry, David F, 1985. "Monetary Economic Myth and Econometric Reality," Oxford Review of Economic Policy, Oxford University Press, vol. 1(1), pages 72-84, Spring.
  16. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
  17. P. Bekx & G. Tullio, 1989. "A note on the European Monetary System, and the determination of the DM-dollar exchange rate," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 123, pages 329-343.
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