The Demand for M3 in the Euro Area
By Guenter Coenen, J. Vega. Social Science Research Network, 2001
406 citations recorded by the source corpus.
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long-term and the short-term nominal interest rates, (ii) the long-term real interest rate, and (iii) a long-run demand for broad money M3. There is evidence that the determinants of M3 money demand are weakly exogenous with respect to the long-run parameters. Hence, following a general-to-specific modelling approach, a parsimonious conditional error-correction model for M3 money demand is derived which can be interpreted economically. For the conditional model, long-run and short-run parameter stability is extensively tested and not rejected. Copyright © 2001 John Wiley & Sons, Ltd.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/c50f64235f92c0152ae0841eceff1e221337b80e
How researchers see this paper
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In Economics and Econometrics
- Volker Wieland
- Andrea Nobili
- Guenter Coenen
- Andrew T. Levin
- G. Peersman
- E. Jansen
- Stefan Gerlach
- Javier Vallés
Citations in the corpus
- An area-wide model for the euro area (2005, background): “The first one is standard, namely the output gap term entering the 15 See Price (1992) for a similar approach estimating forward-looking price ECM equations under the constraint of dynamic homogeneity, an hypothesis which cannot be rejected using the UK data, contrary to what our findings suggest fo”
- The Econometrics of Macroeconomic Modelling (2005, methodology): “We have used a data series for broad money (M3) obtained from Gerlach and Svensson (2003a) and Coenen and Vega (2001a) which is shown in Figure 8.”
- An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models (2001, positive): “For an empirical model of money demand with this specification, see for example Coenen and Vega (1999). 23 For a discussion of the determinants of the yield spread, see Berk and Van Bergeijk (2000), pp.”
- Money and Inflation in the Euro Area: A Case for Monetary Indicators? (2003, background): “This result is fully consistent with the Grangercausality tests in Trecroci and Vega [44], who also demonstrate that the money-growth indicator does not Granger-cause in‡ation.”