@techreport{Lemke2005Money,
abstract = {In this study we construct a measure of macroeconomic uncertainty from several observable
economic indicators for the euro area. Indicator variables are based on financial
market data, such as medium-term returns, loss and volatility measures but also come
from surveys that capture business and consumer sentiment. From these we estimate the
path of underlying macroeconomic uncertainty using an unobserved components model.
Employing cointegration analysis it is demonstrated that the extracted measures of uncertainty
help to explain the increase in euro area M3 over the period 2001 to 2004. Similar
evidence can be found for US monetary aggregates.},
author = {Wolfgang Lemke and Claus Greiber},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E41; 330; Money demand; Macroeconomic Uncertainty; Excess Liquidity; Geldnachfrage; Geldmenge; Konjunktur; Makro\"{o}konomischer Einflu\ss{}; Sch\"{a}tzung; EU-Staaten; USA},
language = {eng},
number = {2005,26},
title = {Money demand and macroeconomic uncertainty},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19611},
year = {2005}
}
