Arbeitspapier
Non-linear dynamics in the euro area demand for M1
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 are indications of non-linearity in the residuals of the error-correction model. This non-linearity is explicitly modelled using a fairly general Markov switching error-correction model with satisfactory results. The empirical findings of the paper are consistent with theoretical predictions stemming from "buffer stock" and "target-threshold" models and with analogous empirical evidence for European countries and the US.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 592
- Klassifikation
-
Wirtschaft
Demand for Money
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
cointegration
demand for money
euro area
non-linear error correction
Geldmenge
Geldnachfrage
Kointegration
Kointegration
Eurozone
Theorie
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Calza, Alessandro
Zaghini, Andrea
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Calza, Alessandro
- Zaghini, Andrea
- European Central Bank (ECB)
Entstanden
- 2006
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