Arbeitspapier
Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques
In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also compare single equation methods like the ARDL approach, FM-OLS, CCR and DOLS with the commonly used cointegrated Johansen VAR framework and show that the former are under certain circumstances more appropriate than the latter. What is more, they deliver results that are more in line with the economic theory. Hence, FMOLS, CCR and DOLS are useful in estimating standard money demand as well, although they have only been rarely applied for this purpose in previous studies.
- Sprache
-
Englisch
- ISBN
-
978-3-86788-191-3
- Erschienen in
-
Series: Ruhr Economic Papers ; No. 171
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Demand for Money
Interest Rates: Determination, Term Structure, and Effects
Central Banks and Their Policies
- Thema
-
ARDL model
cointegration
euro area
financial crisis
money demand
Geldnachfrage
Europäische Wirtschafts- und Währungsunion
Finanzmarktkrise
Kointegration
Schätzung
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Belke, Ansgar
Czudaj, Robert
- Ereignis
-
Veröffentlichung
- (wer)
-
Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
- (wo)
-
Essen
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:24 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Belke, Ansgar
- Czudaj, Robert
- Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Entstanden
- 2010
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