The empirical properties of euro area M3, 1980-2017

Autor:	Hector Carcel Villanova, Alexander Jung
Rok vydání:	2020
Předmět:	Economics and Econometrics 050208 finance Cointegration CVAR 05 social sciences Monetary economics Market liquidity Economic indicator Demand curve 0502 economics and business Financial crisis Economics 050207 economics Finance Stock (geology)
Zdroj:	The Quarterly Review of Economics and Finance. 77:37-49
ISSN:	1062-9769
DOI:	10.1016/j.qref.2020.05.008
Popis:	This paper revisits the empirical properties of euro area M3 over the years 1980 to 2017. We estimate a CVAR model that includes wealth in addition to conventional drivers. Our empirical analysis identifies three long run cointegration relations - one of which can be interpreted as a stable money demand function. We detect that wealth effects coming from movements of stock prices and housing wealth had a positive effect on the long-run money demand for M3 and on output. Moreover, we confirm leading indicator properties of M3 excess liquidity for inflation, in particular at horizons between 1 and 2 years.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::0d75ba39dac980f3510b09f7de706e0f https://doi.org/10.1016/j.qref.2020.05.008 Zobrazit plný text záznamu Full Text from ScienceDirect