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Autoren: 
Hensch, Jonas Ladegaard
Datum: 
2019
Reihe/Nr.: 
Danmarks Nationalbank Working Papers 136
Zusammenfassung: 
Within a cointegrated VAR framework I show that the traditional money-demand relation, determined by a transaction effect and the opportunity cost of holding money, can no longer explain the recent development of monetary aggregates in Denmark. Instead, I argue that the introduction of housing wealth and the role of precautionary demand for liquidity improves both the explanatory power of money demand and stability of the long-run estimates. Identification of the long-run structure still suggests homogeneity between money and GDP together with a positive effect from the opportunity cost. Housing wealth enters the money-demand equation positively which is consistent with previous findings for the euro area and the US. To verify the implications of negative interest rates, I perform several forward-recursive tests and rolling-window estimations. In general, these tests confirm that the estimated moneydemand relation behaves stably over time, reflecting that the negative interest rate environment has not contributed to any permanent effect on the determination of money demand. Instead, the analysis suggests that the introduction of negative policy rates has presumably provoked a temporary shock to the coefficient on the opportunity cost.
Schlagwörter: 
Money demand
The cointegrated VAR model
Housing wealth
Long-run stability
Negative interest rates
Precautionary motive
JEL: 
C32
D15
D81
E40
E41
E50
Dokumentart: 
Working Paper
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