A cointegration model of money and wealth
Katrin Assenmacher () and
Andreas Beyer ()
No 619, CFS Working Paper Series from Center for Financial Studies (CFS)
Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy measures, we find that the money demand and the real wealth relations identified in Beyer (2009) have remained remarkably stable throughout the extended sample period. Testing for price homogeneity in the I(2) model we find that the nominal-to-real transformation is not rejected for the money relation whereas the wealth relation cannot be expressed in real terms.
Keywords: money demand; wealth; cointegration; vector error correction model; I(2) analysis (search for similar items in EconPapers)
JEL-codes: E41 C32 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-ets, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: A cointegration model of money and wealth (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:619
Access Statistics for this paper
More papers in CFS Working Paper Series from Center for Financial Studies (CFS) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().