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Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
ECB Working Paper No. 592
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
cointegration
demand for money
euro area
non-linear error correction
JEL: 
E41
C22
Dokumentart: 
Working Paper

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