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A cointegration model of money and wealth

Gespeichert in:

Personen und Körperschaften: Assenmacher-Wesche, Katrin (VerfasserIn), Beyer, Andreas (VerfasserIn)
Titel: A cointegration model of money and wealth/ Katrin Assenmacher, Andreas Beyer
Format: E-Book
Sprache: Englisch
veröffentlicht:
Frankfurt am Main, Germany European Central Bank [2020]
Gesamtaufnahme: Europäische Zentralbank: Working paper series ; no 2365 (January 2020)
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: 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 …nd that the elasticities in the money demand and the real wealth relations identi…ed previously in Beyer (2009) have remained remarkably stable throughout the extended sample period, once only a few additional deterministic variables in the long run relationships for the period after the start of the global …nancial crisis and the ECB’s non-standard monetary policy measures are included. Testing for price homogeneity in the I(2) model we …nd that the nominal-to-real transformation is not rejected for the money relation whereas the wealth relation cannot be expressed in real terms.
Umfang: 1 Online-Ressource (circa 28 Seiten); Illustrationen
ISBN: 9789289940085
9289940085
DOI: 10.2866/343114