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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

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

Warne, Anders - 2006

Persistent link: https://www.econbiz.de/10011604738

Is euro area demand (still) stable? : cointegrated VAR versus single equation techniques

Belke, Ansgar; Czudaj, Robert - 2010

In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...

Persistent link: https://www.econbiz.de/10010208785

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

Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area

Beyer, Andreas; Juselius, Katarina - 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/10011605195

Money and Prices : An I(2) Analysis for the Euro Area

Holtemöller, Oliver - 2017

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis …

Persistent link: https://www.econbiz.de/10012951750

Modelling Loans to Non-Financial Corporations in the Euro Area

Kok, Christoffer - 2012

We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...

Persistent link: https://www.econbiz.de/10013108338

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

A Stable Model for Euro Area Money Demand : Revisiting the Role of Wealth

Beyer, Andreas - 2009

Persistent link: https://www.econbiz.de/10013155103

The Dynamic Effects of Shocks to Wages and Prices in the United States and the Euro Area

Duarte, Rita Netto de Miranda - 2009

This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector error-correction model, where the structural...

Persistent link: https://www.econbiz.de/10013158451