Money demand in Europe : an empirical approach

著者

    • Müller, Christian

書誌事項

Money demand in Europe : an empirical approach

Christian Müller

(Contributions to economics)

Physica, c2003

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注記

Includes bibliographical references

内容説明・目次

内容説明

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.

目次

1 Introduction.- 2 Economic and Econometric Concepts.- 2.1 Introduction.- 2.2 Economics of the Demand for Money.- 2.2.1 A Specific-to-General Approach.- 2.2.2 Economic Theory and Implications for Empirical Applications.- 2.3 System Analysis of Money Demand Functions.- 2.3.1 Choice of Variables.- 2.3.2 The Statistical Model, the Long-and Short-run.- 2.3.3 Economic Relationships & Cointegration Hypotheses.- 2.3.4 Efficient Estimation and Weak Exogeneity.- 2.3.5 Identification Issues.- 2.4 Summary. Econometric Analysis and Economic Interpretation.- 3 Unit Root Tests for Time Series with a Structural Break.- 3.1 Introduction.- 3.2 Models for Time Series with Level Shifts.- 3.2.1 Estimation of Nuisance Parameters.- 3.3 The Test Statistics.- 3.4 Flexible Shifts, Computational Issues and Extensions.- 3.4.1 Model Checking.- 3.4.2 Extensions.- 3.5 Examples.- 3.5.1 Data Description.- 3.5.2 Estimation of the Break Points.- 3.5.3 Graphical Analysis.- 3.5.4 Test Statistics and Test Decisions.- 3.6 Conclusions.- 3.A Figures.- 4 Monetary Policy in France Prior to European Monetary Union.- 4.1 Introduction.- 4.2 Preparing for the Euro: Implications for Money Demand Analysis.- 4.2.1 Brief Summary of the Events.- 4.2.2 An Economic Point of View.- 4.2.3 A Small Econometric Study.- 4.2.4 Comparison of Two Econometric Models of the CIP.- 4.2.5 CIP Analysis: Concluding Remarks.- 4.3 Money Supply in France Prior to EMU.- 4.3.1 On French Money Demand.- 4.3.2 Data and Model.- 4.3.3 Estimation of the Long-run Parameters.- 4.3.4 Determination of the Cointegration Matrix.- 4.3.5 Stability Analysis.- 4.3.6 Comparing Model Alternatives.- 4.3.7 Economic Interpretation.- 4.4 Summary and Conclusion.- 4.A Data, Tables and Figures.- 5 Money Demand in Europe: Evidence from the Past.- 5.1 Introduction.- 5.2 Preliminary Considerations.- 5.2.1 Problems Related to Aggregation.- 5.2.2 Interpretation Problems.- 5.3 Constructing European Data.- 5.4 Cointegration Analysis.- 5.4.1 Uni-variate and Multi-variate Data Properties.- 5.4.2 Identification of Cointegration Vectors.- 5.4.3 Properties of the Long-run Dynamics in the System.- 5.4.4 A General Comparison of Two Alternative Models.- 5.4.5 Interpretation of the Long-run Relationships.- 5.5 Conclusions.- 5.A Appendix: Tables, Figures and the Data.- 6 Summary and Outlooks.- List of Tables.- List of Figures.- References.

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詳細情報

  • NII書誌ID(NCID)
    BA64357220
  • ISBN
    • 3790800643
  • 出版国コード
    gw
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    Heidelberg
  • ページ数/冊数
    xiii, 240 p.
  • 大きさ
    24 cm
  • 親書誌ID
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