A cointegration model of money and wealth

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the extended sample period, once only a few additional deterministic variables in the long run relationships for the period after the start of the global nancial crisis and the ECB s non-standard monetary policy measures are included. Testing for price homogeneity in the I(2) model we nd that the nominal-to-real transformation is not rejected for the money relation whereas the wealth relation cannot be expressed in real terms.