A Small Monetary System for the Euro Area Based on German Data
License
Access Rights
Cadmus Permanent Link
Full-text via DOI
ISBN
ISSN
Issue Date
Type of Publication
Keyword(s)
LC Subject Heading
Other Topic(s)
EUI Research Cluster(s)
Initial version
Published version
Succeeding version
Preceding version
Published version part
Earlier different version
Initial format
Author(s)
Citation
Journal of Applied Econometrics, 2006, 21, 6, 683-702.
Cite
BRUEGGEMANN, Ralf, LUETKEPOHL, Helmut, A Small Monetary System for the Euro Area Based on German Data, Journal of Applied Econometrics, 2006, 21, 6, 683-702. - https://hdl.handle.net/1814/6240
Abstract
Previous euro area money demand studies have used aggregated national time series data from the countries participating in the European Monetary Union (EMU). However, aggregation may be problematic because macroeconomic convergence processes have taken place in the countries of interest. Therefore, in this study, quarterly German data until 1998 are combined with data from the euro area from 1999 until 2002 and these series are used for fitting a small vector error correction model for the monetary sector of the EMU. A stable long-run money demand relation is found for the full sample period. Moreover, impulse responses do not change much when the sample period is extended by the EMU period provided the break in the extended data series is captured by a simple dummy variable.