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Divisia monetary aggregates for a heterogeneous euro area

Maximilian Brill, Dieter Nautz () and Lea Sieckmann

No 2019/9, Discussion Papers from Free University Berlin, School of Business & Economics

Abstract: We introduce a Divisia monetary aggregate for the euro area that accounts for the heterogeneity across member countries both, in terms of interest rates and the decomposition of monetary assets. In most of the euro area countries, the difference between the growth rates of the country-specific Divisia aggregate and its simple sum counterpart is particularly pronounced before recessions. The results obtained from a panel probit model confirm that the divergence between the Divisia and the simple sum aggregate has a significant predictive content for recessions in euro area countries.

Keywords: Monetary aggregation; Euro area Divisia aggregate; Recessions (search for similar items in EconPapers)
JEL-codes: E51 E32 C43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-ore
Date: 2019
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Handle: RePEc:zbw:fubsbe:20199