Econometric Modelling Of European Money Demand

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Money Demand in Europe

Helmut Lütkepohl,Jürgen Wolters
Money Demand in Europe Book PDF

Author : Helmut Lütkepohl,Jürgen Wolters
Publisher : Springer Science & Business Media
Page : 266 pages
File Size : 54,9 Mb
Release : 2013-04-17
Category : Business & Economics
ISBN : 9783662125397

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Money Demand in Europe by Helmut Lütkepohl,Jürgen Wolters Pdf

In 1999 a number of member states of the European Union will adopt a common currency. This change in the monetary system requires that a Eur opean Central Bank is set up and a common monetary policy is pursued. There is general agreement among those countries which are likely to join the common currency that price level stability has to be the ultimate objec tive of monetary po1icy. It is an open issue, however, what kind of policy is best suited for that purpose. The alternative strategies under discussion are a direct inflation targeting, an intermediate monetary targeting or a mixture of both. For these policy strategies a stable money demand relation is of cen tral importance. Therefore a workshop on Money Demand in Europe was organized at the Humboldt University in Berlin on October 10/11, 1997. This research conference brought together academic and central bank econo mists and econometricians predominantly from Europe to discuss issues on specification, estimation and, in particular, stability of money demand rela tions both in a single equation and in a systems framework. In this volume revised versions of the papers presented and discussed at the workshop are collected. The volume thereby gives an overview of money demand analysis in Europe on the eve of the introduction of the Euro in some European countries. It contributes to the discussion on a suitable monetary policy for the new European Central Bank.

Econometric Modelling of European Money Demand

Engelbert Plassmann
Econometric Modelling of European Money Demand Book PDF

Author : Engelbert Plassmann
Publisher : Springer Science & Business Media
Page : 204 pages
File Size : 42,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642573361

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Econometric Modelling of European Money Demand by Engelbert Plassmann Pdf

The introduction of a single European currency constitutes a remarkable instance of internationalization of monetary policy. Whether a concomitant internationalization can be detected also in the econometric foundations of monetary policy is the topic dealt with in this book. The basic theoretical ingredients comprise a data-driven approach to econometric modelling and a generalized approach to cross-sectional aggregation. The empirical result is a data-consistent structural money demand function isolated within a properly identified, dynamic macroeconomic system for Europe. The book itself evolved from a research project within the former Son derforschungsbereich SFB 178 "Internationalization of the Economy" at the University of Konstanz. Its finalization entails a due amount of gratitude to be extended into several directions: I am personally indebted, first of all, to my academic supervisor, Professor Dr. Nikolaus Laufer, for originally inspiring this work and for meticulously perusing its eventual result. Professor Dr. Win fried Pohlmeier, as a second supervisor, provided valuable confidence bounds around an earlier draft. The comments of both supervisors contributed substantially to the present shape of the book. I am institutionally indebted to the University of Konstanz, notably its Faculty of Economics and Statistics, for continuous provision of an excellent research environment, and to the Deutsche Forschungsgemeinschaft in Bonn for generous sponsorship of the former SFB, whose financial support dur ing that period is gratefully acknowledged. I am also indebted to Dresdner Bank AG Frankfurt, Risk Methodology Trading, for benign tolerance of all distractions associated with the preparation of the final manuscript.

Money Demand in Europe

Christian Müller
Money Demand in Europe Book PDF

Author : Christian Müller
Publisher : Springer Science & Business Media
Page : 248 pages
File Size : 43,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642574009

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Money Demand in Europe by Christian Müller Pdf

The first of January 1999 marked the beginning of a macroeconomic experi ment without precedent in modern history. For the first time eleven European countries agreed to abolish their local currencies in favour of a single one, the Euro. Not surprisingly, the necessary preparatory process has been accompa nied by an intensive discussion about the best way to manage the new Euro currency properly. To spur on that discourse was the principal motivation for this thesis. The introductory chapter attempts to bridge economic and econometric views on money demand analysis. It should help to motivate estimation proce dures and to standardize interpretation techniques, hopefully initiating further discussion in that direction. It intends to make the following chapters more accessible. In this thesis I approach the general subject in two principle ways. In chapter 3 I consider technical issues dealing with time series with shifts in the mean. Two years ago, Helmut Liitkepohl and Pentti Saikkonen asked me to join in on a related project which became the cornerstone of this chapter. I have very much appreciated the highly instructive collaboration with both these scholars.

Econometric Models of the Euro-area Central Banks

Gabriel Fagan,Julian Morgan
Econometric Models of the Euro area Central Banks Book PDF

Author : Gabriel Fagan,Julian Morgan
Publisher : Edward Elgar Publishing
Page : 336 pages
File Size : 47,6 Mb
Release : 2006-01-01
Category : Business & Economics
ISBN : 9781845428037

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Econometric Models of the Euro-area Central Banks by Gabriel Fagan,Julian Morgan Pdf

This book provides a description of the main macroeconomic models used by the European Central Bank and the euro area national central banks (Eurosystem). These models are used to help prepare economic projections and scenario analysis for individual countries and the euro area as a whole. The volume takes stock of the current macroeconometric modelling infrastructure available within the Eurosystem, highlighting not only the structures and main features of the models used but also their purposes and underlying model-building philosophies. A bird s eye view of the key details of the design, structure and characteristics of the models is provided, along with information on the responses of these models to a series of standard economic and policy shocks. This is the first time that a comprehensive description and systematic comparison of the main macroeconomic models has been published. This book will be of great interest to Central Bank and government economists, as well as academics, economists and students with an interest in central banking, econometric modelling, forecasting and macroeconomic policy.

Economic and Monetary Integration and the Aggregate Demand for Money in the EMS

International Monetary Fund
Economic and Monetary Integration and the Aggregate Demand for Money in the EMS Book PDF

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 46 pages
File Size : 43,6 Mb
Release : 1990-03-01
Category : Business & Economics
ISBN : 9781451921045

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Economic and Monetary Integration and the Aggregate Demand for Money in the EMS by International Monetary Fund Pdf

This study shows that the aggregate demand for M1 in the group of countries participating in the Exchange Rate Mechanism (ERM) of the European Monetary System can be expressed as a stable function of ERM-wide income, inflation, interest rates, and the exchange rate of the European Currency Unit (ECU) vis-à-vis the U.S. dollar. A notable feature of the model is the rapid elimination of monetary disequilibria, in contrast with most single-country estimates which tend to find implausibly slow adjustment. These results are suggestive: if robust, they would indicate that, even at the present stage of economic and monetary integration, a European central bank could, in principle, implement monetary control more effectively than the individual national central banks.

Demand for Money

Anonim
Demand for Money Book PDF

Author : Anonim
Publisher : Transaction Publishers
Page : 210 pages
File Size : 49,8 Mb
Release : 2024-07-01
Category : Business & Economics
ISBN : 9781412821452

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Demand for Money by Anonim Pdf

The income velocity of money-an inverse measure of the demand for money balances-is the ratio of the money value of income to the average money stock that the public (excluding banks) holds in a given period. Why the magnitude of that ratio has changed over time is the subject of Michael D. Bordo and Lars Jonung's classic study, originally published as "The Long-Run Behavior of the Velocity of Circulation." Supported by statistical data, econometric estimation techniques, and meticulous historical analysis, this work describes, in an international setting, how slow-moving economic, social, and political forces interact with the decisions households and firms make about how much money to hold. Annual time series of velocity for several countries from the late nineteenth century to the late twentieth century display a U-shaped pattern. Existing theories can explain each section of the velocity curve-the falling, flat, and rising parts-but the overall pattern is not consistent with any one theory. Here the authors put forth a comprehensive explanation for this behavior over time. Their theory is largely an extension of the approach of Knut Wicksell, the Swedish economist who stressed the role of substitution between monetary assets. This approach, which emphasizes institutional variables, is incorporated into the arguments for the traditional long-run money demand (velocity) function. Four types of empirical evidence strongly support the authors' theory: econometric studies of the long-run velocity function for several countries; a cross section study of approximately eighty countries in the postwar period; a case study of the Swedish monetization process in the fifty years before World War I; and an examination of the time series properties of velocity. "Demand for Money" suggests that institutional factors, as opposed to real income, play a greater role in velocity than previously thought. And these institutional factors have a major impact on monetary policy. This is a book that will prove of great value to economists, monetary strategists, and policymakers. br> Michael D. Bordo is professor of economics and director of the Center for Monetary and Financial History at Rutgers University. He is editor of a series of books, "Studies in Macroeconomic History," and the author of "Essays on the Gold Standard and Related Regimes," and (with Anna J. Schwartz) "A Retrospective on the Classical Gold Standard 1821-1931." Lars Jonung is research adviser at ECFIN, European Commission, Brussels. He was previously professor of economics at the Stockholm School of Economics, and served as chief economic advisor to Prime Minister Carl Bildt from 1992 to 1994. Jonung is the author of "The Political Economy of Price Controls: The Swedish Experience 1970-1985," and editor of "The Stockholm School of Economics Revisited."

Asymmetric Monetary Transmission in Europe

Volker Clausen
Asymmetric Monetary Transmission in Europe Book PDF

Author : Volker Clausen
Publisher : Springer Science & Business Media
Page : 213 pages
File Size : 47,6 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642595653

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Asymmetric Monetary Transmission in Europe by Volker Clausen Pdf

The euro and the ESCB have started in January 1999 and there is naturally a wide-ranging interest in academia and among policymakers in OECD coun tries, how successful European Monetary Union will and can be. EMU has started with 11 countries and experienced a rapid depreciation of the cur rency. With so many EU countries joining for a historical monetary union in a period of economic globalization, international financial market changes and ongoing EU enlargement the problem of monetary policy efficiency becomes crucial; especially as so many countries in the EU still have high unemploy ment rates and the euro has just started at the beginning of a cyclical upswing in the euro zone. Monetary policy is also quite crucial, because the Maastricht convergence criteria severely restrict the scope of national fiscal policy. With a very limited stock of valuable European monetary experience which could be usefully exploited by the ECB and the ESCB respectively, one naturally will appreciate advanced economic modeling of the main issues. This book takes an analytical look at the problem of asymmetric monetary transmission in Euroland. Facing the ECB's monetary policy, individual mem ber countries are likely to experience different policy effects. Countries differ in their financial structure -a well-known argument in the literature -but also in the characteristics of goods and labor markets. The latter fields have been somewhat neglected in the literature but receive broad analytical attention here.

Macroeconomic Modelling And Monetary And Exchange Rate Regimes

Masson Paul R
Macroeconomic Modelling And Monetary And Exchange Rate Regimes Book PDF

Author : Masson Paul R
Publisher : World Scientific
Page : 428 pages
File Size : 55,8 Mb
Release : 2019-07-23
Category : Business & Economics
ISBN : 9789811201738

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Macroeconomic Modelling And Monetary And Exchange Rate Regimes by Masson Paul R Pdf

This book presents articles that focus on the inter-related issues of choice of exchange rate and monetary policy regimes, and others that use a global macroeconomic model developed by the author and collaborators to quantify the effects of the 'baby boom' on global imbalances, costs of disinflation, and the effects of German unification. The book presents new analysis of the euro-zone experience and its applicability to other monetary unions, as well as a discussion of the prerequisites for successful inflation targeting. It is grounded in real-world data, readily accessible to non-specialists, and addresses important economic policy issues.

Aggregate Money Demand Functions

Dennis L. Hoffman,Robert H. Rasche
Aggregate Money Demand Functions Book PDF

Author : Dennis L. Hoffman,Robert H. Rasche
Publisher : Springer
Page : 266 pages
File Size : 47,5 Mb
Release : 2011-09-26
Category : Business & Economics
ISBN : 9401073082

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Aggregate Money Demand Functions by Dennis L. Hoffman,Robert H. Rasche Pdf

The econometric consequences of nonstationary data have wide ranging im plications for empirical research in economics. Specifically, these issues have implications for the study of empirical relations such as a money demand func tion that links macroeconomic aggregates: real money balances, real income and a nominal interest rate. Traditional monetary theory predicts that these nonsta tionary series form a cointegrating relation and accordingly, that the dynamics of a vector process comprised of these variables generates distinct patterns. Re cent econometric developments designed to cope with nonstationarities have changed the course of empirical research in the area, but many fundamental challenges, for example the issue of identification, remain. This book represents the efforts undertaken by the authors in recent years in an effort to determine the consequences that nonstationarity has for the study of aggregate money demand relations. We have brought together an empirical methodology that we find useful in conducting empirical research. Some of the work was undertaken during the authors' sabbatical periods and we wish to acknowledge the generous support of Arizona State University and Michigan State University respectively. Professor Hoffman wishes to acknowledge the support of the Fulbright-Hays Foundation that supported sabbattical research in Europe and separate support of the Council of 100 Summer Research Program at Arizona State University.

The Role of Financial Markets in the Transition Process

Emilio Colombo,Edward John Driffill
The Role of Financial Markets in the Transition Process Book PDF

Author : Emilio Colombo,Edward John Driffill
Publisher : Springer Science & Business Media
Page : 244 pages
File Size : 53,8 Mb
Release : 2003-01-10
Category : Business & Economics
ISBN : 379080004X

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The Role of Financial Markets in the Transition Process by Emilio Colombo,Edward John Driffill Pdf

Financial Markets play an important role in economic development, channeling saving to investments and facilitating growth. In Eastern Europe financial markets were initially much underdeveloped, and lacked the skills and infrastructure they needed to be efficient, having not acquired them in the pre-transition era. The book offers a both theoretical and empirical analysis of financial markets in transitional economies. It investigates financial markets in Hungary, the Czech Republic, and Poland, and their role in the developments in the 1990s.

Agent-Based Computational Modelling

Francesco C. Billari,Thomas Fent,Alexia Prskawetz,Jürgen Scheffran
Agent Based Computational Modelling Book PDF

Author : Francesco C. Billari,Thomas Fent,Alexia Prskawetz,Jürgen Scheffran
Publisher : Springer Science & Business Media
Page : 232 pages
File Size : 43,6 Mb
Release : 2006-06-14
Category : Business & Economics
ISBN : 9783790817218

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Agent-Based Computational Modelling by Francesco C. Billari,Thomas Fent,Alexia Prskawetz,Jürgen Scheffran Pdf

The present book describes the methodology to set up agent-based models and to study emerging patterns in complex adaptive systems resulting from multi-agent interaction. It offers the application of agent-based models in demography, social and economic sciences and environmental sciences. Examples include population dynamics, evolution of social norms, communication structures, patterns in eco-systems and socio-biology, natural resource management, spread of diseases and development processes. It presents and combines different approaches how to implement agent-based computational models and tools in an integrative manner that can be extended to other cases.

Identification and Inference for Econometric Models

Donald W. K. Andrews,James H. Stock
Identification and Inference for Econometric Models Book PDF

Author : Donald W. K. Andrews,James H. Stock
Publisher : Cambridge University Press
Page : 589 pages
File Size : 40,7 Mb
Release : 2005-07-04
Category : Business & Economics
ISBN : 9781139444606

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Identification and Inference for Econometric Models by Donald W. K. Andrews,James H. Stock Pdf

This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.

The Value of Signals in Hidden Action Models

Wendelin Schnedler
The Value of Signals in Hidden Action Models Book PDF

Author : Wendelin Schnedler
Publisher : Springer Science & Business Media
Page : 162 pages
File Size : 43,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783790827064

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The Value of Signals in Hidden Action Models by Wendelin Schnedler Pdf

Since the fundamental work of Walras (1874), markets have received particular attention by economists because they lead to an efficient allocation of goods and services. However, the proper functioning of markets rests on certain assumptions. For instance, the good or ser vice which is to be traded must be clearly defined. This elementary requirement is often violated in reality, in particular when services are concerned. Consider the example of railway workers who are hired to lay tracks. A labour contract which stipulates a fixed wage and defines the workers' task as "laying tracks" is rather unspecific. Workers may profit from this vagueness by reducing effort to a comfortable amount -as long as tracks are laid, they do not violate contract conditions. Thus, an im precise definition of the service can result in inefficiently low efforts. An obvious solution to this problem is a clearer definition of the ser vice, but often this way is barred: To specify, for instance, all actions which are involved in laying tracks and which may vary with weather, surface and other conditions is far too complicated and too costly. In deed, labour contracts seldom give a detailed account of the task of a worker. Alternatively to a more precise task description, the wage of the worker could be conditioned on information about the worker's performance. For example, the railway workers might be paid by the length of tracks laid so that they are motivated to exert more effort.

Ifo Survey Data in Business Cycle and Monetary Policy Analysis

Jan-Egbert Sturm,Timo Wollmershäuser
Ifo Survey Data in Business Cycle and Monetary Policy Analysis Book PDF

Author : Jan-Egbert Sturm,Timo Wollmershäuser
Publisher : Springer Science & Business Media
Page : 232 pages
File Size : 40,5 Mb
Release : 2006-03-30
Category : Business & Economics
ISBN : 9783790816051

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Ifo Survey Data in Business Cycle and Monetary Policy Analysis by Jan-Egbert Sturm,Timo Wollmershäuser Pdf

A pilot ?ying to a distant city needs to check his position, ?ight path and weather conditions, and must constantly keep his plane under control to land safely.TheIfosurveydataprovideadvanceinformationonchangingeconomic weather conditions and help keep the economy under control. To be sure, by their very nature they only provide short-term information. But like a plane, the economy will not be able to reach its long-term goals if it strays o? course in the short term. The Ifo survey data provide the most comprehensive and accurate, - to-date database in Europe on the state of the business cycle, and the Ifo climate indicator, sometimes simply called “The Ifo”, is the most frequently cited indicator of its kind in Europe. Both the European stock market and theeuroreacttoourindicator.Ifo’smethodologyfordeterminingthebusiness climateindicatorhasbeenexportedtomorethan?ftycountries,mostrecently toTurkeyandChina.TheIfopeoplewereproudtohavebeenaskedtohelpset up polling systems in these countries. It is said that the Chinese government relies more on their “Ifo indicator” than on their o?cial accounting statistics.

Empirical Finance

Sardar M. N. Islam,Sethapong Watanapalachaikul
Empirical Finance Book PDF

Author : Sardar M. N. Islam,Sethapong Watanapalachaikul
Publisher : Springer Science & Business Media
Page : 208 pages
File Size : 50,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783790826661

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Empirical Finance by Sardar M. N. Islam,Sethapong Watanapalachaikul Pdf

This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.