Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/228243
Authors: 
Assenmacher-Wesche, Katrin
Beyer, Andreas
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2365
Abstract: 
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. Wefind that the elasticities in the money demand and the real wealth relations identified 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 financial crisis and the ECB' s non-standard monetary policy measures are included. Testing for price homogeneity in the I(2) model we find that the nominal-to-real transformation is not rejected for the money relation whereas the wealth relation cannot be expressed in real terms.
Subjects: 
Money demand
wealth
cointegration
vector error correctionmodel
I(2) analysis
JEL: 
E41
C32
C22
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4008-5
Document Type: 
Working Paper

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