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A money demand system for euro area M3

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  • Brand, Claus
  • Cassola, Nuno

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

Suggested Citation

  • Brand, Claus & Cassola, Nuno, 2000. "A money demand system for euro area M3," Working Paper Series 39, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:200039
    Note: 92649
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    More about this item

    Keywords

    Fisher hypothesis; money demand; response profiles; Structural cointegrated VAR; term structure;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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