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Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3

Warne, Anders - European Central Bank - 2006

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …

Persistent link: https://www.econbiz.de/10005816301

A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth

Beyer, Andreas - European Central Bank - 2009

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...

Persistent link: https://www.econbiz.de/10008558668

The demand for M3 in the euro area

Coenen, Günter; Vega, Juan Luis - European Central Bank - 1999

In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long- and the short-term nominal interest rates, (ii) the long-term...

Persistent link: https://www.econbiz.de/10005162897

A monthly monetary model with banking intermediation for the euro area

Bruggeman, Annick; Donnay, Marie - European Central Bank - 2003

JEL Classification: C32, E41, E43, E50, G21

Persistent link: https://www.econbiz.de/10005530973

Long-run money demand in the new EU Member States with exchange rate effects

Dreger, Christian; Reimers, Hans-Eggert; Roffia, Barbara - European Central Bank - 2006

analysis in the new Member States of the European Union (EU) is conducted using panel cointegration methods. A well …

Persistent link: https://www.econbiz.de/10005068629

Does liquidity matter? Properties of a synthetic divisia monetary aggregate in the euro area

Stracca, Livio - European Central Bank - 2001

This paper sets out to build a synthetic quarterly Divisia monetary aggregate for the euro area using area wide data over the sample period from 1980 to 2000. Then, the analysis proceeds in two separate steps. First, the demand for this Divisia monetary aggregate is evaluated using econometric...

Persistent link: https://www.econbiz.de/10005530804

Sectoral money demand models for the euro area based on a common set of determinants

von Landesberger, Julian - European Central Bank - 2007

Empirical money demand analysis undertaken at the aggregate level may obscure behavioural differences between the financial, non-financial corporation and household sectors. Looking at the individual and more homogenous sectors may allow more clearly interpretable empirical relationships between...

Persistent link: https://www.econbiz.de/10005530907

A money demand system for euro area M3

Brand, Claus; Cassola, Nuno - European Central Bank - 2000

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...

Persistent link: https://www.econbiz.de/10005530955

Why has broad money demand been more stable in the euro area than in other economies? A literature review

Calza, Alessandro; Sousa, João - European Central Bank - 2003

JEL Classification: E41, C22, C32

Persistent link: https://www.econbiz.de/10005530979

Is the demand for euro area M3 stable?

Warne, Anders; Bruggeman, Annick; Donati, Paola - European Central Bank - 2003

JEL Classification: C22, C32, E41

Persistent link: https://www.econbiz.de/10005531005