A money demand system for euro area M3

By Claus Brand, N. Cassola. Social Science Research Network, 2004

226 citations recorded by the source corpus.

In order to assess the importance of monetary and financial developments for key macroeconomic variables in the euro area a money demand system for M3 is estimated adopting a structural cointegrating VAR approach. While maintaining a good statistical representation of the data, long-run relationships are based on economic theory. By using generalized response profiles the dynamics of the money demand system is investigated without any further identifying assumptions. Error bounds of the profiles are derived using bootstrap simulations.

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Citations in the corpus

Estimating the Trend of M3 Income Velocity Underlying the Reference Value for Monetary Growth (2002, background): “In the euro area, the broad aggregate M3 satisfies this property, as shown by Coenen and Vega (1999), Brand and Cassola (2000), and Calza, Gerdesmeier and Levy (2001).”
A Tale of Two Decades: The Ecb's Monetary Policy at 20 (2019, unknown): “The Coenen and Vega (2001), Brand and Cassola (2004) and Calza, Gerdesmeier and Levy (2001) models (that latter referred to as CGL), are typical examples of such models that have featured prominently in ECB staff’s money demand analysis from 1999 onwards.”
Assessing excess liquidity in the euro area: the role of sectoral distribution of money (2011, background): “…correlation between inflation and money growth for the United States and the United Kingdom, while Coenen and Vega (2001), Calza et al. (2001) and Brand and Cassola (2004) have also found a stable long-run relationship between the broad monetary aggregate M3 and the price level in the euro area.”
Modelling the demand for loans to the private sector in the euro area (2003, background): “adjustment coefficient found in money demand studies (see Coenen and Vega, 1999; Brand and Cassola, 2000).”
Background studies for the ECB's evaluation of its monetary policy strategy (2003, background): “50 See Coenen and Vega (2001), Brand and Cassola (2000), Calza, Gerdesmeier and Levy (2001), Calza, Manrique and Sousa (2003), Stracca (2001a), Stracca (2001b).”
Money in an Estimated Business Cycle Model of the Euro Area (2006, unknown): “Real balances are measured dividing M3 by the GDP deflator, and are obtained from the work by Brand and Cassola (2000).”