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The demand for M3 in the euro area
Coenen, Guenter; Vega, Juan Luis - 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/10011604052
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A monthly monetary model with banking intermediation for the euro area
Bruggeman, Annick; Donnay, Marie - 2003
Persistent link: https://www.econbiz.de/10011604310
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Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3
Warne, Anders - 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/10011604738
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 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/10011605157
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A cointegration model of money and wealth
Assenmacher-Wesche, Katrin; Beyer, Andreas - 2020
Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. Wefind that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...
Persistent link: https://www.econbiz.de/10012389568
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A Stable Model for Euro Area Money Demand : Revisiting the Role of Wealth
Beyer, Andreas - 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/10013155103
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Does it Matter How Aggregates are Measured? The Case of Monetary Transmission Mechanisms in the Euro Area
Beyer, Andreas - 2010
impact on the cointegration properties in empirical modelling, the monetary model in Coenen &Vega (2001) based on fixed …
Persistent link: https://www.econbiz.de/10013149066
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Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3
Warne, Anders - 2021
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/10013317369
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Non-Linear Dynamics in the Euro Area Demand for M1
Calza, Alessandro; Zaghini, Andrea - 2021
This paper investigates possible non-linearities in the dynamics of the euro area demand for the narrow aggregate M1. A long-run money demand relationship is firstly estimated over a sample period covering the last three decades. While the parameters of the relationship are jointly stable, there...
Persistent link: https://www.econbiz.de/10013317661
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A money demand system for euro area M3
Brand, Claus; Cassola, Nuno - 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/10011604085