A small monetary system for the euro area based on German data

Helmut Lütkepohl () and Ralf Brüggemann ()

Journal of Applied Econometrics, 2006, vol. 21, issue 6, pages 683-702

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 fitting 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. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2006
View list of references View citations in EconPapers

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.864 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2006-v21.6/ Supporting data files and programs (text/html)

Related works:
Working Paper: A Small Monetary System for the Euro Area Based on German Data (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jae:japmet:v:21:y:2006:i:6:p:683-702

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().