A Money Demand System for German M3
Posted: 29 Sep 1998
Abstract
A small macroeconomic model is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest rate spread variable to represent opportunity costs of holding money. Furthermore, import price inflation is added as an exogenous variable. The model is used to analyze the relation between money growth and inflation by means of an impulse response analysis.
JEL Classification: C32, E52, E41
Suggested Citation: Suggested Citation
Luetkepohl, Helmut and Wolters, Jürgen, A Money Demand System for German M3. Available at SSRN: https://ssrn.com/abstract=123495
CESifo (Center for Economic Studies and Ifo Institute)
Poschinger Str. 5
Munich, DE-81679
Germany
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