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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

Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables

Chudik, Alexander; Georgiadis, Georgios - 2021

This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...

Persistent link: https://www.econbiz.de/10013315353

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

Beyer, Andreas - 2009

Persistent link: https://www.econbiz.de/10011605157

Modelling Ireland's Exchange Rates : From EMS to EMU

Bond, Derek - 2007

, are discussed and applied. The results obtained highlight the likely inadequacies of the standard cointegration and Star …

Persistent link: https://www.econbiz.de/10012775859

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

Non-Linear Dynamics in the Euro Area Demand for M1

Calza, Alessandro; Zaghini, Andrea - 2021

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

Cointegration in Panel Data with Breaks and Cross-Section Dependence

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2021

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …

Persistent link: https://www.econbiz.de/10013317662

Forecasting Inflation with Gradual Regime Shifts and Exogenous Information

Hubrich, Kirstin - 2011

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...

Persistent link: https://www.econbiz.de/10013122536

Forecasting Fiscal Time Series Using Mixed Frequency Data

Asimakopoulos, Stylianos - 2013

Given the increased importance of fiscal monitoring, this study amends the existing literature in the field of intra-annual fi scal data in two main dimensions. First, we use quarterly fi scal data to forecast a very disaggregated set of fiscal series at annual frequency. This makes the analysis...

Persistent link: https://www.econbiz.de/10013082111