Money demand in Europe: Evidence from the past
The conditions under which European monetary policy is likely to be conducted are investigated by means of multi-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis identifies two stable long-run relationships within a set of five key macroeconomic variables, one of which can be interpreted as a money demand function and a sec(md one as a long term real interest rate (Fisher parity). Our findings indicate that monetary authorities might well be able to base their policy on the existence of a money demand. Particular emphasis is given both to the data sources and their aggregation, by providing a transparent account of our calculation procedure, which is not yet common in the existing literature.
|Date of creation:||2000|
|Date of revision:|
|Contact details of provider:|| Postal: Spandauer Str. 1,10178 Berlin|
Web page: http://www.wiwi.hu-berlin.de/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
- Wesche, Katrin, 1995.
"The Stability of European Money Demand: An Investigation of M3H,"
Discussion Paper Serie B
337, University of Bonn, Germany.
- Katrin Wesche, 1997. "The Stability of European Money Demand: An Investigation of M3H," Open Economies Review, Springer, vol. 8(4), pages 371-391, October.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
- Ivo Arnold, 1994. "The myth of a stable European money demand," Open Economies Review, Springer, vol. 5(3), pages 249-259, July.
- Gabriel Fagan & JÊrÆme Henry, 1998. "Long run money demand in the EU: Evidence for area-wide aggregates," Empirical Economics, Springer, vol. 23(3), pages 483-506.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
- Jeroen J. M. Kremers & Timothy D. Lane, 1990. "Economic and Monetary Integration and the Aggregate Demand for Money in the EMS," IMF Staff Papers, Palgrave Macmillan, vol. 37(4), pages 777-805, December.
- Neil R. Ericsson, 1998. "Empirical modeling of money demand," Empirical Economics, Springer, vol. 23(3), pages 295-315.
- James G. MacKinnon, 1990.
"Critical Values for Cointegration Tests,"
1227, Queen's University, Department of Economics.
- Tom Doan, . "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components RTS00061, Boston College Department of Economics.
- James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
- Lutkepohl, Helmut & Saikkonen, Pentti, 2000.
"Testing for the cointegrating rank of a VAR process with a time trend,"
Journal of Econometrics,
Elsevier, vol. 95(1), pages 177-198, March.
- H. Lütkepohl & P. Saikkonen, 1997. "Testing for the Cointegrating Rank of a VAR Process with a Time Trend," SFB 373 Discussion Papers 1997,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998.
"A review of systemscointegration tests,"
SFB 373 Discussion Papers
1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Carlo Monticelli, 1996. "EU-wide money and cross-border holdings," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 132(2), pages 215-235, September.
- Gottschalk, Jan, 1999. "A cointegration analysis of a money demand system in Europe," Kiel Working Papers 902, Kiel Institute for the World Economy (IfW).
- G. Coenen & J.-L. Vega, 2001.
"The demand for M3 in the euro area,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 16(6), pages 727-748.
- Coenen, Günter & Vega, Juan Luis, 1999. "The demand for M3 in the euro area," Working Paper Series 0006, European Central Bank.
- Gunter Coenen & Juan Luis Vega, 2000. "The Demand for M3 in the Euro Area," Econometric Society World Congress 2000 Contributed Papers 0976, Econometric Society.
- Monticelli, Carlo & Strauss-Kahn, Marc-Olivier, 1993.
"European Integration and the Demand for Broad Money,"
The Manchester School of Economic & Social Studies,
University of Manchester, vol. 61(4), pages 345-66, December.
- Carlo Monticelli & Marc-Olivier Strauss-Kahn, 1992. "European integration and the demand for broad money," BIS Working Papers 18, Bank for International Settlements.
When requesting a correction, please mention this item's handle: RePEc:zbw:sfb373:200035. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.