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A money demand system for German M3

Juergen Wolters and Helmut LØtkepohl ()
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Helmut LØtkepohl: Institut fØr Statistik und ãkonometrie, Wirtschaftswissenschaftliche FakultÄt, Humboldt-UniversitÄt, Spandauer Str. 1, 10178 Berlin, Germany

Authors registered in the RePEc Author Service: Helmut Lütkepohl ()

Empirical Economics, 1998, vol. 23, issue 3, 371-386

Abstract: A small macroeconomic model is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest rate spread variable to represent opportunity costs of holding money. Furthermore, import price inflation is added as an exogenous variable. The model is used to analyze the relation between money growth and inflation by means of an impulse response analysis.

Keywords: Cointegration; analysis; ·; impulse; response; analysis; ·; monetary; policy; ·; money; demand; ·; structural; vector; autoregressive; model (search for similar items in EconPapers)
JEL-codes: C32 E52 E41 (search for similar items in EconPapers)
Date: 1998-09-01
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