A Small Monetary System for the Euro Area Based on German Data

Ralf Brueggemann and Helmut Luetkepohl
Authors registered in the RePEc Author Service: Helmut Lütkepohl and Ralf Brüggemann

No ECO2004/24, Economics Working Papers from European University Institute

Abstract: Previous euro area money demand studies have used aggregated national time series data from the countries participating in the European Monetary Union (EMU). However, aggregation may be problematic because macroeconomic convergence processes have taken place in the countries of interest. Therefore, in this study, quarterly German data until 1998 are combined with data from the euro area from 1999 until 2002 and these series are used for getting a small vector error correction model for the monetary sector of the EMU. A stable long-run money demand relation is found for the full sample period. Moreover, impulse responses do not change much when the sample period is extended by the EMU period provided the break in the extended data series is captured by a simple dummy variable.

JEL-codes: C32 (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: A small monetary system for the euro area based on German data (2006)
Journal Article: A small monetary system for the euro area based on German data (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco2004/24

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