Arbeitspapier
Is euro area money demand (still) stable? Cointegrated VAR versus single equation techniques
In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also compare single equation methods like the ARDL approach, FM-OLS, CCR and DOLS with the commonly used cointegrated Johansen VAR framework and show that the former are under certain circumstances more appropriate than the latter. What is more, they deliver results that are more in line with the economic theory. Hence, FMOLS, CCR and DOLS are useful in estimating standard money demand as well, although they have only been rarely applied for this purpose in previous studies.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 982
Klassifikation
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Demand for Money
Interest Rates: Determination, Term Structure, and Effects
Central Banks and Their Policies
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Demand for Money
Interest Rates: Determination, Term Structure, and Effects
Central Banks and Their Policies
Thema
ARDL model
cointegration
euro area
financial crisis
money demand
Geldnachfrage
Europäische Wirtschafts- und Währungsunion
Finanzmarktkrise
Kointegration
Schätzung
EU-Staaten
cointegration
euro area
financial crisis
money demand
Geldnachfrage
Europäische Wirtschafts- und Währungsunion
Finanzmarktkrise
Kointegration
Schätzung
EU-Staaten
Ereignis
Geistige Schöpfung
(wer)
Belke, Ansgar
Czudaj, Robert
Czudaj, Robert
Ereignis
Veröffentlichung
(wer)
Deutsches Institut für Wirtschaftsforschung (DIW)
(wo)
Berlin
(wann)
2010
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Belke, Ansgar
- Czudaj, Robert
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2010
Ähnliche Objekte (12)
Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise : ein ARDL-Ansatz für Deutschland
Fiscal Stimulus Packages and Uncertainty in Times of Crisis - The Option of Waiting Can Be Valuable, Though!
Towards a genuine economic and monetary Union-comments on a roadmap
Helicopter Money: Should Central Banks Rain Money from the Sky?
After the bazooka a bonanza from heaven: "Helicopter money" now?
Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques
Impact of a low interest rate environment: Global liquidity spillovers and the search-for-yield
Fiscal Stimulus Packages and Uncertainty in Times of Crisis – The Option of Waiting Can Be Valuable, Though!
Monetary dialogue 2009 - 2014: Looking backward, looking forward
Towards a genuine economic and monetary union: Comments on a roadmap
The euro area crisis management framework: Consequences and institutional follow-ups
Impact of a Low Interest Rate Environment - Global Liquidity Spillovers and the Search-for-yield
Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise : ein ARDL-Ansatz für Deutschland
Fiscal Stimulus Packages and Uncertainty in Times of Crisis - The Option of Waiting Can Be Valuable, Though!
Towards a genuine economic and monetary Union-comments on a roadmap
Helicopter Money: Should Central Banks Rain Money from the Sky?
After the bazooka a bonanza from heaven: "Helicopter money" now?
Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques
Impact of a low interest rate environment: Global liquidity spillovers and the search-for-yield
Fiscal Stimulus Packages and Uncertainty in Times of Crisis – The Option of Waiting Can Be Valuable, Though!
Monetary dialogue 2009 - 2014: Looking backward, looking forward
Towards a genuine economic and monetary union: Comments on a roadmap
The euro area crisis management framework: Consequences and institutional follow-ups
Impact of a Low Interest Rate Environment - Global Liquidity Spillovers and the Search-for-yield
Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise : ein ARDL-Ansatz für Deutschland
Fiscal Stimulus Packages and Uncertainty in Times of Crisis - The Option of Waiting Can Be Valuable, Though!
Towards a genuine economic and monetary Union-comments on a roadmap
Helicopter Money: Should Central Banks Rain Money from the Sky?
After the bazooka a bonanza from heaven: "Helicopter money" now?
Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques
Impact of a low interest rate environment: Global liquidity spillovers and the search-for-yield
Fiscal Stimulus Packages and Uncertainty in Times of Crisis – The Option of Waiting Can Be Valuable, Though!
Monetary dialogue 2009 - 2014: Looking backward, looking forward
Towards a genuine economic and monetary union: Comments on a roadmap
The euro area crisis management framework: Consequences and institutional follow-ups