A money demand system for euro area M3

Claus Brand and Nuno Cassola

No 39, Working Paper Series from European Central Bank

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. JEL Classification: C32, E41

Keywords: Fisher hypothesis; money demand; response profiles; Structural cointegrated VAR; term structure (search for similar items in EconPapers)
Date: 2000-11
Note: 92649
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Citations: View citations in EconPapers (100)

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Journal Article: A money demand system for euro area M3 (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:200039

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