Narrow search
Showing 1 - 10 of 125
Cover Image
On the Empirical Relevance of the Lucas Critique: the Case of Euro Area Money Demand
Dreger, Christian; Wolters, Jürgen - In: Empirica 43 (2016) 1, pp. 61-82
This paper examines the relevance of the Lucas critique for euro area money demand. Based on the money in the utility function approach, a vector error correction model is specified to investigate the relationship between money and inflation in times of policy shifts. A well defined equation for...
Persistent link: https://www.econbiz.de/10011646098
Cover Image
On the empirical relevance of the Lucas critique : the case of euro area money demand
Dreger, Christian; Wolters, Jürgen - 2016
This paper examines the relevance of the Lucas critique for euro area money demand. Based on the money in the utility function approach, a vector error correction model is specified to investigate the relationship between money and inflation in times of policy shifts. A well defined equation for...
Persistent link: https://www.econbiz.de/10011659976
Cover Image
Autoregressive distributed lag models and cointegration
Hassler, Uwe; Wolters, Jürgen - 2005
under exogeneity carries over to the EC estimator. Next, we review cointegration tests based on EC regressions. Special …This paper considers cointegration analysis within an autoregressive distributed lag (ADL) framework. First, different …
Persistent link: https://www.econbiz.de/10010299086
Cover Image
Autoregressive distributed lag models and cointegration
Hassler, Uwe; Wolters, Jürgen - In: AStA Advances in Statistical Analysis 90 (2006) 1, pp. 59-74
Persistent link: https://www.econbiz.de/10005155558
Cover Image
Autoregressive distributed lag models and cointegration
Hassler, Uwe; Wolters, Jürgen - Fachbereich Wirtschaftswissenschaft, Freie Universität … - 2005
under exogeneity carries over to the EC estimator. Next, we review cointegration tests based on EC regressions. Special …This paper considers cointegration analysis within an autoregressive distributed lag (ADL) framework. First, different …
Persistent link: https://www.econbiz.de/10008533623
Cover Image
Money and Inflation in the euro area during the financial crisis
Dreger, Christian; Wolters, Jürgen - 2011
including the recent period of the financial crisis. Evidence is based on a cointegration analysis, where inflation and asset … inflation dynamics. While the hypothesis of weak exogeneity is rejected for real money balances and inflation, real income, real … demand equation is sufficient, at least as a rough indication. -- Money demand ; inflation ; excess liquidity ; cointegration …
Persistent link: https://www.econbiz.de/10009427840
Cover Image
M3 money demand and excess liquidity in the euro area
Dreger, Christian; Wolters, Jürgen - 2010
Recent empirical studies have found evidence of unstable long run money demand functions if recent data are used. If the link between money balances and the macroeconomy is fragile, the rationale of monetary aggregates in the ECB strategy has to be doubted. In contrast we present a "stable''...
Persistent link: https://www.econbiz.de/10011518878
Cover Image
Money velocity and asset prices in the euro area
Dreger, Christian; Wolters, Jürgen - 2009
of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …
Persistent link: https://www.econbiz.de/10011518893
Cover Image
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
Cover Image
Money velocity and asset prices in the euro area
Dreger, Christian (contributor);  … - 2008
of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth … survive a battery of specification tests. -- Cointegration analysis ; error correction ; money demand ; financial wealth …
Persistent link: https://www.econbiz.de/10003746686