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  • Search: subject:"I(2) vector error correction model"
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Double unit roots 1 Euro area money demand 1 I(2) vector error correction model 1 cointegration 1 monetary policy 1
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Holtemöller, Oliver 1
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A monetary vector error correction model of the Euro area and implications for monetary policy
Holtemöller, Oliver - In: Empirical Economics 29 (2004) 3, pp. 553-574
In this paper, a vector error correction model for Euro area money, prices, output, long-term interest rate and short-term interest rate with three identified cointegration relations is specified. It is shown that Euro area money and prices can be considered as variables that are integrated of...
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