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Money Demand in Europe: Evidence from the Past
Müller, Christian | Hahn, Elke
Credit and Capital Markets – Kredit und Kapital, Vol. 34 (2001), Iss. 1 : pp. 48–75
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Christian Müller, Berlin
Elke Hahn, Berlin
References
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Abstract
The conditions under which European monetary policy is likely to be conducted are investigated by means of multi-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis identifies two stable long-run relationships one of which can be interpreted as a money demand function and a second one as a long term real interest rate (Fisher parity). Particular emphasis is given both to the data sources and their aggregation, by providing a transparent account of our calculation procedure, which is not yet common in the existing literature. (JEL E41, E52, C32)