Open AccessJournal Article
Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models
Christian Dreger,Jürgen Wolters +1 more
TLDR
In this article, a stable long run money demand relationship was identified, where recursively estimated parameters are almost stable in addition, the corresponding error correction model survives a wide array of specification tests, including procedures for nonlinearities and parameter instability, and is not expected to lead to a rise in inflation.About:
This article is published in Journal of International Money and Finance.The article was published on 2010-01-01 and is currently open access. It has received 80 citations till now. The article focuses on the topics: Monetary policy & Inflation.read more
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Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy
TL;DR: In this paper, the authors investigate the possible existence of asymmetries among Euro Area countries reactions to the European Central Bank monetary policy and find that, despite the single monetary policy has had the effect of reducing heterogeneity in impulse responses, member states still react asymmetrically in terms of prices and unemployment.
Journal ArticleDOI
Money and housing: evidence for the euro area and the US
Claus Greiber,Ralph Setzer +1 more
TL;DR: In this paper, the authors examined the relation between money and housing variables in the euro area and in the US and found evidence for asset inflation channels, that is, liquidity fuels housing market developments.
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Housing wealth, financial wealth, money demand and policy rule: Evidence from the euro area
TL;DR: In this paper, the authors investigated empirically the relation between monetary policy and asset markets using quarterly data for the euro area and found that a monetary policy contraction leads to a substantial fall in wealth.
Posted Content
Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability
TL;DR: This article developed a money demand model where investors hold a diversified portfolio with money, domestic and foreign stocks and long-term bonds in which, in addition to the classical wealth effect, also a size and an international portfolio allocation effects arise.
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Enhancing monetary analysis
Abstract: From the outset of Monetary Union, the ECB has assigned a “prominent role” to monetary analysis in its monetary policy strategy. This article describes a number of new tools for monetary analysis that have been developed on the basis of ECB research. It discusses how these tools are used to interpret monetary developments and ultimately to offer insights that support the conduct of monetary policy in the euro area. JEL Classification: E0
References
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
TL;DR: In this paper, a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model is given, with the main emphasis on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function.
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
TL;DR: In this paper, the authors give a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model, which has gained popularity because it can capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series.
Journal ArticleDOI
Numerical distribution functions of likelihood ratio tests for cointegration
TL;DR: In this article, the authors employ response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration.
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Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration
TL;DR: The authors employed response surface regressions based on simulation experments to calculate asymptotic distribution functions for the likelihood ratio tests for cointegration proposed by Johansen and provided tables of critical values that are very much more accurate than those available previously.
Related Papers (5)
Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models
Christian Dreger,Jürgen Wolters +1 more