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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
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A cointegration model of money and wealth
Assenmacher-Wesche, Katrin; Beyer, Andreas - 2018
Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy...
Persistent link: https://www.econbiz.de/10011974516
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A Cointegration Model of Money and Wealth
Assenmacher-Wesche, Katrin - 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 find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...
Persistent link: https://www.econbiz.de/10012844181
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The Demand for Broad Money in Norway, 1969-1993
Eitrheim, Oyvind - 2010
Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway …
Persistent link: https://www.econbiz.de/10014215622
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Stability of the Demand for M1 and Harmonized M3 in Finland
Ripatti, Antti - 1998
-in-the-utility-function approach. The steady-state - utility function - parameters of the model of narrow money (M1) estimated with cointegration …
Persistent link: https://www.econbiz.de/10014215618
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Investigating Stability and Linearity of a German M1 Money Demand Function
Lütkepohl, Helmut; Teräsvirta, Timo; Wolters, Jürgen - 1998
Starting from a linear error correction model the stability and linearity of a German M1 money demand function are …
Persistent link: https://www.econbiz.de/10014110824
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(When) Should Cointegrating Regressions Be Detrended? The Case of a German Money Demand Function
Hassler, Uwe - 1999
If an economic relationship is superimposed by a linear time trend, the regression without detrending is misspecified. The estimators of such a regression do not converge to the true parameter values. First, the asymptotic limit arising from such misspecified regressions is characterized....
Persistent link: https://www.econbiz.de/10014200423
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Testing for the Lucas critique : a quantitative investigation
Lindé, Jesper - 2000
In this paper, I try to shed some new light on the puzzle why the Lucas critique, belived to be important by most economists, seems to have received very little empirical support. I use a real business cycle model to examine the properties of the super exogeneity test, which is used to detect...
Persistent link: https://www.econbiz.de/10011585378
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The long-run demand for M2 reconsidered
Altermatt, Sophie - 2018
first half of the 19th century. The evidence from cointegration tests suggests that a long-run equilibrium relationship for …) cointegration tests produce strong evidence in favor of a stable long-run money demand. Evidence for Israel and Lebanon is weaker … demand or it is mixed across money demand specifications and/or type of cointegration test. …
Persistent link: https://www.econbiz.de/10011961332
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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