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Expected money growth, Markov trends and the instability of money demand in the euro area
Kaufmann, Sylvia; Kugler, Peter - 2007 - This version: December 2007
with a switching intercept term. Of course, this likely leads to a rejection of cointegration by standard tests and to the …
Persistent link: https://www.econbiz.de/10011570250
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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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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/10013155103
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Constructing divisia monetary aggregates for Nigeria
Bello, Yakubu. A.; Audu, Salihu; Ibrahim, Hamman; … - In: CBN journal of applied statistics 13 (2022) 1, pp. 163-207
This study computes Divisia monetary aggregates DM1, DM2, and DM3 for Nige- ria using the Tornqvist-Theil quantity index for the period 2007M12 to 2020M12 and evaluates the performance of the higher-order aggregate (DM3) with a corre- sponding higher aggregate of the simple sum broad money...
Persistent link: https://www.econbiz.de/10014282087
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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
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The welfare effects of inflation: a cost-benefit perspective
Tödter, Karl-Heinz; Manzke, Bernhard - 2007
This paper reviews theory and evidence of the welfare effects of inflation from a costbenefit perspective. Basic models and selected empirical results are discussed. Historically, in assessing the welfare effects of inflation, the distortion of money demand played a prominent role. More...
Persistent link: https://www.econbiz.de/10010295870
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Unemployment and the demand for money
Huber, Samuel; Kim, Jaehong; Marchesiani, Alessandro - 2019
We develop a dynamic general equilibrium model to analyze the relationship between monetary policy, money demand, and unemployment. Our model succeeds in replicating the empirical fact of a downward sloping Phillips curve for low inflation rates and an upward sloping curve for high inflation...
Persistent link: https://www.econbiz.de/10012018950
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Long and Plosser meet Bewley and Lucas
Dong, Feng; Wen, Yi - 2018
We develop a N-sector business cycle network model a la Long and Plosser (1983), featuring heterogenous money demand a la Bewley (1980) and Lucas (1980). Despite incomplete markets and a well-defined distribution of real money balances across heterogeneous households, the enriched N-sector...
Persistent link: https://www.econbiz.de/10011911508
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Time-Varying Money Demand and Real Balance Effects
Benchimol, Jonathan - 2020
This paper presents an analysis of the stimulants and consequences of money demand dynamics. By assuming that households’ money holdings and consumption preferences are not separable, we demonstrate that the interest-elasticity of demand for money is a function of the households’...
Persistent link: https://www.econbiz.de/10012847205
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Seigniorage, (Hyper)Inflation and Money Demand in Venezuela in the XXI Century : A First Estimation Attempt
Saboin, Jose Luis - 2018
The present work estimates collected seigniorage levels in the Venezuelan economy from 1994Q1 to 2018Q2 and tries to determine when and if a seigniorage-maximizing inflation rate occurred and this way provide a rational on the development of hyperinflation in the country. Results suggest that...
Persistent link: https://www.econbiz.de/10012906561