A Money Demand System for Euro Area M3

Brand, Claus; Cassola, Nuno

doi:10.2139/ssrn.356000

Download This Paper

Open PDF in Browser

Add Paper to My Library

A Money Demand System for Euro Area M3

48 Pages Posted: 12 Dec 2002

See all articles by Claus Brand

Nuno Cassola

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

Date Written: November 2000

Abstract

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

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