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Instabile Geldnachfrage im Euroraum?
Dreger, Christian; Wolters, Jürgen - In: Vierteljahrshefte zur Wirtschaftsforschung 76 (2007) 4, pp. 85-95
Ökonometrische Studien weisen zunehmend auf Instabilitäten in der Geldnachfrage hin. Ein solcher Befund stellt die … einer Standardspezifikation der Geldnachfrage durchaus gerechtfertigt werden kann. Wesentlich für dieses Ergebnis ist die …
Persistent link: https://www.econbiz.de/10010377814
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The Taylor Rule: A Spurious Regression?
Österholm, Pär - 2003
processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and … compatibility between the model and the data. Tests find little support for cointegration and, together with an out …
Persistent link: https://www.econbiz.de/10010321545
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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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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
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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
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Liquidity Shortages and Monetary Policy
Illing, Gerhard; Cao, Jin - 2007
The paper models the interaction between risk taking in the financial sector and central bank policy. It shows that in the absence of central bank intervention, the incentive of financial intermediaries to free ride on liquidity in good states may result in excessively low liquidity in bad...
Persistent link: https://www.econbiz.de/10010427485
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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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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
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Money velocity and asset prices in the euro area
Dreger, Christian; Wolters, Jürgen - 2008
of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …
Persistent link: https://www.econbiz.de/10010291770
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A microfounded model of money demand under uncertainty, and its empirical validation using cointegration and rolling-window dynamic multiplier analysis
Größl-Gschwendtner, Ingrid; Tarassow, Artur - 2015
In this article we derive a microfounded model of money demand under uncertainty built on intertemporally optimizing risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint into account leads to ambiguous effects w.r.t. to the...
Persistent link: https://www.econbiz.de/10011341022