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Money demand in Europe : evidence from the past
Müller-Kademann, Christian; Hahn, Elke - 2000
-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …
Persistent link: https://www.econbiz.de/10009583887
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Currency substitution and the stability of the Italian demand for money before the entry into the monetary union, 1972 - 1998
Nielsen, Hannah; Tullio, Giuseppe; Wolters, Jürgen - 2000
A money demand function for M2 is estimated for Italy for the period 1972-1998 within an error correction framework. This period has been characterized by major structural changes in the Italian financial system and by major changes in monetary policy. This study takes these changes into...
Persistent link: https://www.econbiz.de/10009611545
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Money and prices : an I(2) analysis for the euro area
Holtemöller, Oliver - 2002
The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …
Persistent link: https://www.econbiz.de/10009620770
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A money demand system for M3 in the unified Germany
Lütkepohl, Helmut; Wolters, Jürgen - 1997
A small macroeconomicmodel is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest...
Persistent link: https://www.econbiz.de/10009660378
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Money growth volatility and the demand for money in Germany : Friedman's volatility hypothesis revisited
Brüggemann, Imke; Nautz, Dieter - 1997
Recently, the Bundesbank claimed that monetary targeting has become considerably more diffcult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman's money...
Persistent link: https://www.econbiz.de/10009632601
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Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999
It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...
Persistent link: https://www.econbiz.de/10009580485
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The monetary model of the exchange rate : a structural interpretation
Moersch, Mathias; Nautz, Dieter - 1998
We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...
Persistent link: https://www.econbiz.de/10009574885
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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - 2002
cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures … rank smaller than one suggested by procedures which accommodate the shifts. -- Systems cointegration tests ; Level shifts …
Persistent link: https://www.econbiz.de/10009626747
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Estimating the Kronecker indices of cointegrated echelon form VARMA models
Bartel, Holger; Lütkepohl, Helmut - 1997
Cointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed and compared. They have the common feature of estimating...
Persistent link: https://www.econbiz.de/10009630541
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Rank tests for nonlinear cointegration
Breitung, Jörg - 1998
A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …
Persistent link: https://www.econbiz.de/10009578004