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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

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

Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling

Camba-Méndez, Gonzalo; Kapetanios, George - 2021

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10013316643

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

Beyer, Andreas - 2009

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

The Impact of Monetary Policy Shocks on Commodity Prices

Anzuini, Alessio - 2010

Global monetary conditions have often been cited as a driving factor of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The...

Persistent link: https://www.econbiz.de/10013139795

External Shocks and International Inflation Linkages : A Global VAR Analysis

Galesi, Alessandro - 2009

Amid the recent commodity price gyrations, policy makers have become increasingly concerned in assessing to what extent oil and food price shocks transmit to the inflationary outlook and the real economy. In this paper, we try to tackle this issue by means of a Global Vector Autoregressive...

Persistent link: https://www.econbiz.de/10013159237

Modelling loans to non-financial corporations in the euro area

Kok, Christoffer; Marqués-Ibáñez, David; Rossi, Carlotta - 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/10011605035

Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area

Beyer, Andreas; Juselius, Katarina - 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/10011605195

Revisiting Fiscal Sustainability : Panel Cointegration and Structural Breaks in OECD Countries

Afonso, António - 2012

cointegration analysis, both country and panel based, controlling for endogenous breaks. Results notably show: lack of cointegration …

Persistent link: https://www.econbiz.de/10013102099