Similar Search Results

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. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012150128

A portfolio demand approach for broad money in the euro area

Jung, Alexander - 2016

Persistent link: https://www.econbiz.de/10011618615

Non-linear dynamics in the euro area demand for M1

Calza, Alessandro (contributor); Zaghini, Andrea (contributor) - 2006

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/10003290327

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

Warne, Anders (contributor) - 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 conditional on the lag order, the current paper also...

Persistent link: https://www.econbiz.de/10003396764

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

Stracca, Livio - 2001

Persistent link: https://www.econbiz.de/10001636927

A money demand system for Euro area M3

Brand, Claus; Cassola, Nuno - 2000

Persistent link: https://www.econbiz.de/10001554433

Is the demand for euro area M3 stable?

Bruggeman, Annick (contributor); Donati, Paola (contributor) - 2003

Persistent link: https://www.econbiz.de/10001820898

Exchange rates and fundamentals

Engel, Charles (contributor); West, Kenneth D. (contributor) - 2003

Persistent link: https://www.econbiz.de/10001820873

Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Persistent link: https://www.econbiz.de/10009635972

Interest rate volatility : a consol rate-based measure

Brousseau, Vincent; Durré, Alain - 2013

Persistent link: https://www.econbiz.de/10009765575

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