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

Fagan, Gabriel; Henry, Jérôme

doi:10.1007/978-3-662-12539-7_12

Cited by 53 publications

(61 citation statements)

References 17 publications

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“…Money demand in the euro area and in European Union countries has already been analysed by several authors (e.g. Coenen and Vega, 1999;Fagan and Henry, 1999;and Fase and Winder, 1999). These studies essentially offer single equation approaches to money demand.…”

Section: Introductionmentioning

confidence: 99%

A money demand system for euro area M3

2004

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In order to assess the importance of monetary and financial developments for key macroeconomic variables in the euro area a money demand system for M3 is estimated adopting a structural cointegrating VAR approach. While maintaining a good statistical representation of the data, long-run relationships are based on economic theory. By using generalized response profiles the dynamics of the money demand system is investigated without any further identifying assumptions. Error bounds of the profiles are derived using bootstrap simulations.

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Section: Introductionmentioning

confidence: 99%

A money demand system for euro area M3

2004

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“…However, recent evidence has cast serious doubts concerning the robustness of the relationship. If data up to 2001 are used, standard money demand functions for the euro area can be firmly established, see Fagan and Henry (1998), Funke (2001), Coenen and Vega (2001), Bruggemann et al (2003), Brand and Cassola (2004) and Holtemö ller (2004a,b). Extending the sample to a more recent period destroys these findings, as cointegration between the variables cannot be detected anymore, see Gerlach and Svensson (2003), Carstensen (2006) and Greiber and Lemke (2005).…”

Section: Introductionmentioning

confidence: 99%

Investigating M3 money demand in the euro area

Dreger

Wolters

2010

Journal of International Money and Finance

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“…With respect to the income elasticity, many studies find a value close to 1. Fagan and Henry (1998) as well as Hayo (1998) find evidence supporting the cointegration hypothesis between M1 and EU-wide measures of income and interest rate. The implied long-run income elasticities were 0.88 in Fagan and Henry (1998) and 1 in Hayo (1998).…”

Section: Average Interest Rate For the Three Lowest Inflation Countmentioning

confidence: 73%

Monetary Union and the Transaction Cost Savings of a Single Currency

Mendizábal

2002

Rev International Economics

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This paper computes the transaction cost savings derived from the European Monetary Union. A continuoustime, stochastic, Baumol-like model is generalized to include several currencies and calibrated to fit European data. The analysis implies an upper bound for the savings derived from reductions in transaction costs of approximately 0.69% of Union GDP. Additionally, the magnitudes of the brokerage fee and the volatility of transactions, whose estimation has traditionally been difficult to address empirically, are approximated for Europe.

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

Cited by 53 publications

References 17 publications

A money demand system for euro area M3

A money demand system for euro area M3

Investigating M3 money demand in the euro area

Monetary Union and the Transaction Cost Savings of a Single Currency

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