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|a A cointegration model of money and wealth
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|a 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 ECBs 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.
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Assenmacher-Wesche, Katrin, Beyer, Andreas |
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Assenmacher-Wesche, Katrin, Beyer, Andreas |
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Assenmacher-Wesche, Katrin 1966- |
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lfer |
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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 ECBs 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. |
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Europäische Zentralbank: Working paper series |
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Europäische Zentralbank: Working paper series |
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Not Illustrated |
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Frankfurt am Main, Germany, European Central Bank, [2020] |
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Frankfurt am Main, Germany: European Central Bank, [2020] |
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DE-D117, DE-105, LFER, DE-Ch1, DE-15, DE-14, DE-L242, DE-Zwi2 |
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Europäische Zentralbank, Working paper series, no 2365 (January 2020) |
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Working paper series / European Central Bank ; no 2365 (January 2020) |
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Assenmacher-Wesche, Katrin 1966- VerfasserIn (DE-588)171284879 (DE-627)061470031 (DE-576)132089920 aut, A cointegration model of money and wealth Katrin Assenmacher, Andreas Beyer, Frankfurt am Main, Germany European Central Bank [2020], 1 Online-Ressource (circa 28 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2365 (January 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
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 ECBs 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., Beyer, Andreas 1957- VerfasserIn (DE-588)129194026 (DE-627)390701521 (DE-576)297533827 aut, Europäische Zentralbank Working paper series no 2365 (January 2020) 2365 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2365~778c279a05.en.pdf Verlag kostenfrei, https://doi.org/10.2866/343114 Resolving-System kostenfrei, http://hdl.handle.net/10419/228243 Resolving-System kostenfrei, https://doi.org/10.2866/343114 LFER, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2365~778c279a05.en.pdf LFER, LFER 2020-02-03T00:00:00Z |
| spellingShingle |
Assenmacher-Wesche, Katrin, Beyer, Andreas, A cointegration model of money and wealth, Europäische Zentralbank, Working paper series, no 2365 (January 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
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 ECBs 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. |
| title |
A cointegration model of money and wealth |
| title_auth |
A cointegration model of money and wealth |
| title_full |
A cointegration model of money and wealth Katrin Assenmacher, Andreas Beyer |
| title_fullStr |
A cointegration model of money and wealth Katrin Assenmacher, Andreas Beyer |
| title_full_unstemmed |
A cointegration model of money and wealth Katrin Assenmacher, Andreas Beyer |
| title_in_hierarchy |
no 2365 (January 2020). A cointegration model of money and wealth ([2020]) |
| title_short |
A cointegration model of money and wealth |
| title_sort |
cointegration model of money and wealth |
| url |
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2365~778c279a05.en.pdf, https://doi.org/10.2866/343114, http://hdl.handle.net/10419/228243 |
