All the Money in Europe? An Investigation of the Economic Properties of EC-wide Extended Monetary Aggregates

Monticelli, Carlo

doi:10.2139/ssrn.868461

Cited by 5 publications

(5 citation statements)

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“…5(a)). It also signi¢cantly outperforms the national equations with 15 Monticelli (1993) did not ¢nd this to be the case, however. 16 Data for some of the smaller core ERM countries were available only from 1980Q1.…”

Section: New Estimatesmentioning

confidence: 85%

“…tests of whether non-stationary variables tend to``move together'', help to identify long-run relationships between variables and therefore deserve special attention in the context of money demand. Monticelli andStrauss-Kahn (1992, 1993) and Artis et al (1993) ¢nd that an EC broad money aggregate generally exhibits more robust cointegration properties than national equations.…”

Section: Empirical Estimates Of the Demand For Broad Moneymentioning

confidence: 99%

“…3 Monticelli and Strauss-Kahn (1992) ¢nd that long-run money demands for EC countries exhibit similar price and income elasticities. Finally, Angeloni et al (1991), Bayoumi and Kenen (1992) and Monticelli (1993) use causality tests to examine the predictive power of various de¢nitions of EC money supplies for output and activity. 4 In assessing cross-country monetary indicators, it is of course essential to consider the role of the exchange rate.…”

Section: Introductionmentioning

confidence: 99%

“…holdings of domestic deposits (whether in domestic or foreign currency) by non-residents Angeloni et al (1991). recalculate broad money aggregates to include this component, and their ¢ndings suggest that this improves the performance of an EC-wide monetary aggregate; however,Monticelli (1993) concludes that such extended monetary variables do not outperform an aggregate obtained by summing traditional national de¢nitions. This issue is not considered in the present paper.…”

mentioning

confidence: 99%

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Core ERM Money Demand and Effects on Inflation

Cassard

Lane

Masson

1997

The Manchester School

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The paper presents evidence supporting the existence of a stable money demand relationship for Germany plus a core group of countries—France, Belgium, Denmark, Luxembourg and the Netherlands—that have not realigned their parities against the deutschmark since at least 1987. The predictive power of the core ERM aggregate for French and German inflation is also examined; it is shown that the ERM aggregate is a better predictor of German inflation than the German monetary aggregate alone. Thus, the ERM money supply is a useful indicator for German monetary policy, even if the latter only focuses on achieving domestic inflation targets.

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Section: New Estimatesmentioning

confidence: 85%

Section: Empirical Estimates Of the Demand For Broad Moneymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

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Core ERM Money Demand and Effects on Inflation

Cassard

Lane

Masson

1997

The Manchester School

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“…Given the growing importance of cross-border holdings in EU countries over the last decade, it is necessary to examine the impact of the exclusion of these assets from area-wide aggregates on the estimated equations. Area-wide money demand functions for extended broad monetary aggregates, incorporating cross-border holdings, have been examined by Monticelli (1993Monticelli ( , 1996. 12 As pointed out in these studies, in an area-wide contest, cross-border holdings have in general three distinguishing criteria:…”

Section: Extended Broad Money Aggregates: Cross-border Holdingsmentioning

confidence: 99%

Long run money demand in the EU: Evidence for area-wide aggregates

Fagan¹,

Henry²

1998

Empirical Economics

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Long-run properties of EU-wide money aggregates are analysed.For each of the three aggregates considered -Currency, M1 and M3H -it is possible to obtain cointegrating relationships with GDP and interest rates (long or short term market interest rates). Results are not improved when traditional aggregates, obtained by aggregating existing national aggregates, are extended by the inclusion of various measures of Cross-Border Holdings. Specific attention is also paid to aggregation issues and the relative performance of area-wide and national equations. The results show that aggregation bias is not a major problem and that the relatively good area-wide performance is largely a consequence of a statistical averaging effect.

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Fallacies in the interpretation of a european monetary aggregate

Arnold¹

1996

Weltwirtschaftliches Archiv

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All the Money in Europe? An Investigation of the Economic Properties of EC-wide Extended Monetary Aggregates

Cited by 5 publications

References 0 publications

Core ERM Money Demand and Effects on Inflation

Core ERM Money Demand and Effects on Inflation

Long run money demand in the EU: Evidence for area-wide aggregates

Fallacies in the interpretation of a european monetary aggregate

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