A Money Demand System for Euro Area M3
48 Pages Posted: 12 Dec 2002
Date Written: November 2000
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 generalised 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.
Keywords: Money Demand, Fisher Hypothesis, Term Structure, Structural Cointegrated VAR, Response Profiles
JEL Classification: C32, E41
Suggested Citation: Suggested Citation