Money demand in Europe : an empirical approach
著者
書誌事項
Money demand in Europe : an empirical approach
(Contributions to economics)
Physica, c2003
大学図書館所蔵 全10件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
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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