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Brand, Claus; Cassola, Nuno - European Central Bank - 2000

In order to assess the importance of monetary and financial developments for key macroeconomic variables in the euro area a money demand system for M3 is estimated adopting a structural cointegrating VAR approach. While maintaining a good statistical representation of the data, long-run...

Persistent link: https://www.econbiz.de/10005530955

Interest rates and output in the long-run

Aksoy, Yunus; León-Ledesma, Miguel A. - European Central Bank - 2005

In this paper we argue that both statistics and economic theory-based evidence largely indicate the absence of long run relationships between the real output and the most relevant monetary indicator for the U.K. and the U.S, short term interest rates. These findings are not only a full sample...

Persistent link: https://www.econbiz.de/10005530909

Public debt and long-term interest rates: the case of Germany, Italy and the USA

Paesani, Paolo; Strauch, Rolf; Kremer, Manfred - European Central Bank - 2006

The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983-2003 period, the central issue addressed in this paper is how the...

Persistent link: https://www.econbiz.de/10005530972

A monthly monetary model with banking intermediation for the euro area

Bruggeman, Annick; Donnay, Marie - European Central Bank - 2003

JEL Classification: C32, E41, E43, E50, G21

Persistent link: https://www.econbiz.de/10005530973

Modelling loans to non-financial corporations in the euro area

Kok, Christoffer; Marqués-Ibáñez, David; Rossi, Carlotta - European Central Bank - 2009

We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...

Persistent link: https://www.econbiz.de/10004969181

A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth

Beyer, Andreas - European Central Bank - 2009

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...

Persistent link: https://www.econbiz.de/10008558668

A markup model of inflation for the euro area

Bowdler, Christopher; Jansen, Eilev S. - European Central Bank - 2004

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for...

Persistent link: https://www.econbiz.de/10005079101

Interest rate reaction functions and the Taylor rule in the euro area

Gerlach-Kristen, Petra - European Central Bank - 2003

JEL Classification: C22, E52

Persistent link: https://www.econbiz.de/10005816240

Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3

Warne, Anders - European Central Bank - 2006

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …

Persistent link: https://www.econbiz.de/10005816301

Productivity and the ('synthetic') euro-dollar exchange rate

Schnatz, Bernd; Vijselaar, Focco; Osbat, Chiara - European Central Bank - 2003

the Johansen cointegration framework, four Behavioural Equilibrium Exchange Rate models are estimated using four different …

Persistent link: https://www.econbiz.de/10005033414