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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

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

Non-linear dynamics in the euro area demand for M1

Calza, Alessandro; Zaghini, Andrea - 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/10011604638

The Price Revolution in the 16th Century: Empirical Results from a Structural Vectorautoregression Model

Bernholz, Peter; Kugler, Peter - 2007

This paper provides empirical evidence in favor of the hypothesis that the secular price increase in the 16th century is mainly caused by money supply developments as the discovery of new mines in Latin America. First we review price developments for several European countries over the 16th...

Persistent link: https://www.econbiz.de/10011390624

Two exercises of inflation modelling and forecasting for Azerbaijan

Chubrik, Alexander; Hajiyeva, Gulnar; Woźniak, Przemysław - 2012

The paper proposes two econometric models of inflation for Azerbaijan: one based on monthly data and eclectic, another based on quarterly data and takes into account disequilibrium at the money market. Inflation regression based on monthly data showed that consumer prices dynamics is explained...

Persistent link: https://www.econbiz.de/10011430889

Stability of the Demand for Real Narrow Money in lndonesia

Anglingkusumo, Reza - 2005

The stability of the demand for real Ml in Indonesia is empirically examinedusing quarterly data between 1981 and 2002. A cointegrated VAR methodology thatisolates the period of structural breaks in the data generating process of the variables,caused by the Asian crisis, is used. The results...

Persistent link: https://www.econbiz.de/10010325601

Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques

Belke, Ansgar; Czudaj, Robert - 2010

circumstances more appropriate than the latter. What is more, they deliver results that are more in line with the economic theory …

Persistent link: https://www.econbiz.de/10010269994

Is euro area money demand (still) stable? Cointegrated VAR versus single equation techniques

Belke, Ansgar; Czudaj, Robert - 2010

circumstances more appropriate than the latter. What is more, they deliver results that are more in line with the economic theory …

Persistent link: https://www.econbiz.de/10010271383

Analysing Divisia Aggregates for the Euro Area

Reimers, Hans-Eggert - 2002

es erhebliche Kontrollfehler. Zusammenfassend unterstützt die Studie die Auffassung, dass die Geldmenge eine wichtige …

Persistent link: https://www.econbiz.de/10010295730

Money demand and macroeconomic uncertainty

Lemke, Wolfgang; Greiber, Claus - 2005

macroeconomic uncertainty using an unobserved components model. Employing cointegration analysis it is demonstrated that the …

Persistent link: https://www.econbiz.de/10010295771

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