A Money Demand System for Euro Area M3

48 Pages Posted: 12 Dec 2002

See all articles by Claus Brand

Claus Brand

European Central Bank (ECB)

Nuno Cassola

University of Milan Bicocca - CefES; University of Lisbon - CEMAPRE

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

Brand, Claus and Cassola, Nuno, A Money Demand System for Euro Area M3 (November 2000). Available at SSRN: https://ssrn.com/abstract=356000 or http://dx.doi.org/10.2139/ssrn.356000

Claus Brand (Contact Author)

European Central Bank (ECB) ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
+0049 69 13440 (Phone)
+0044 69 1344 6000 (Fax)

Nuno Cassola

University of Milan Bicocca - CefES ( email )


University of Lisbon - CEMAPRE ( email )