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A monthly monetary model with banking intermediation for the euro area

Bruggeman, Annick; Donnay, Marie - 2003

Persistent link: https://www.econbiz.de/10011604310

Non-linear dynamics in the euro area demand for M1

Calza, Alessandro; Zaghini, Andrea - 2006

This paper investigates possible non-linearities in the dynamics of the euro area demand for the narrow aggregate M1. A long-run money demand relationship is firstly estimated over a sample period covering the last three decades. While the parameters of the relationship are jointly stable, there...

Persistent link: https://www.econbiz.de/10011604638

Does it Matter How Aggregates are Measured? The Case of Monetary Transmission Mechanisms in the Euro Area

Beyer, Andreas - 2010

impact on the cointegration properties in empirical modelling, the monetary model in Coenen &Vega (2001) based on fixed …

Persistent link: https://www.econbiz.de/10013149066

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

Beyer, Andreas - 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/10013155103

A Cointegration Model of Money and Wealth

Assenmacher, Katrin - 2020

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 find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012844181

Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3

Warne, Anders - 2021

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/10013317369

Long-Run Money Demand in the New EU Member States with Exchange Rate Effects

Dreger, Christian; Reimers, Hans-Eggert; Roffia, Barbara - 2021

analysis in the new Member States of the European Union (EU) is conducted using panel cointegration methods. A well …

Persistent link: https://www.econbiz.de/10013317611

Non-Linear Dynamics in the Euro Area Demand for M1

Calza, Alessandro; Zaghini, Andrea - 2021

Persistent link: https://www.econbiz.de/10013317661

Flexible asset purchases and repo market functioning

Grasso, Adriana; Poinelli, Andrea - 2025

Flexibility has progressively become a distinctive feature of the implementation of the Eurosystem's asset purchases. In its many manifestations, flexibility has also been used by asset managers in the daily selection of sovereign bonds to limit the impact of asset purchases on repo market...

Persistent link: https://www.econbiz.de/10015199443

Stablecoins, money market funds and monetary policy

Aldasoro, Iñaki; Cornelli, Giulio; Ferrari, Massimo Minesso - 2024

Using a new series of crypto shocks, we document that money market funds' (MMF) assets under management, and traditional financial market variables more broadly, do not react to crypto shocks, whereas stablecoin market capitalization does. U.S. monetary policy shocks, in contrast, drive...

Persistent link: https://www.econbiz.de/10015199454