Is the demand for euro area M3 stable?

This paper re-examines two data issues concerning euro area money demand: aggregation of national data and measurement of the own rate.The main purpose is to study if euro area money demand is subject to parameter non-constancies using formal tests rather than informal diagnostics. As a complement to inference based on asymptotics we perform small-scale bootstraps.The empirical evidence supports the existence of a stable long-run relationship between money and output and that the cointegration space is constant over time.H owever, the interest rate semi-elasticities of money demand are imprecisely estimated.Cond itional on the cointegration relations the remaining parameters of the system appear to be constant.W e also examine the relevance of stock prices for money demand and find that our measure does not matter for the long-run relations, but may be useful in forecasting exercises.F inally, the conclusions are robust for the aggregation method and the choice of sample.