Eurozone money demand: time series and dynamic panel results
The effectiveness of the important role for money in the monetary policy of the European Central Bank (ECB) is usually assessed by looking at time series estimates of the eurozone money demand equation. This implicitly calls for a choice of aggregation method to construct data series long enough to obtain meaningful econometric results. This study discusses different aggregation methods and finds that variable weight growth rate aggregation has the nicest properties. The results based on the hereby constructed series confirm the effectiveness of the ECB's monetary policy. Next this study tries to avoid the issue of aggregation by adopting a (nonstationary) dynamic panel method that uses the data series for each of the eurozone countries by itself. This shows that differences in the money demand equation across the eurozone countries are likely to exist. Not being able to quantify these differences makes it difficult to give specific implications for the ECB's monetary policy. The found differences could however influence the time series estimates and through these have implications for the ECB's monetary policy.
|Date of creation:||Nov 2003|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.dnb.nl/en/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:dnb:wormem:750. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rob Vet)
If references are entirely missing, you can add them using this form.