THE ECONOMETRICS OF MACROECONOMIC MODELLING

# Monetary analysis of Euro-area data

8.3.1 Money demand in the Euro area 1980—97

In this section, we establish that money demand in the Euro area can be mod­elled with a simple equilibrium correction model. We base the empirical results on the work by Coenen and Vega (2001) who estimate the aggregate demand for broad money in the Euro area. In Table 8.1 we report a model which is a close approximation to their preferred specification for the quarterly growth

Table 8.1

Empirical model for Д(ш — p)t in the Euro area based on
Coenen and Vega (2001)

Дpant + Дpant і

— 0.36ДИЬ-_1 — 0.53 —-— t-1 — 0.01dum86t

(0.08) (0.050) 2 (0.002)

— 0.14[(m — p) — 1.140y + 1.462Дpan + 0.820(RL — RS)]t-2 (0.012)

0.23%

FAr(5, 55) =0.97[0.44]

Farch (4, 52) = 0.29[0.89]

X2cnmality(2) = 0.82[0.66]

Fhetx2 (12, 47) = 0.65[0.79] FHETxiXj(24, 35) = 0.59[0.91] Freset(1, 59) = 0.16[0.69]

Note: The sample is 1980(4)-1997(2), quarterly data.

rate in aggregated real broad (M3) money holdings, Д(т — p)t, over the ori­ginal sample period 1980(4)-1997(2). We condition on the estimated long-run real money demand relationship (8.7) in Coenen and Vega (2001):

(m — p)t = 1.14yt — 1.462Дpan — 0.820(RL — RS)t, (8.7)

where (m — p)t denotes (log of) real M3 money holdings, yt is (log of) real GDP, RSt is the short interest rate, RLt is the long interest rate, and Дpant denotes the annualised quarterly change in the GDP deflator.2

The money demand relationship for the Euro area appears to be fairly well specified with stable parameters as indicated by the plot of recursive residuals and Chow tests in Figure 8.1. The question is: can this model be turned into a model of inflation by inversion?

Добавить комментарий

## THE ECONOMETRICS OF MACROECONOMIC MODELLING

### Inflation equations derived from the P*-model

The P*-model is presented in Section 8.5.4. The basic variables of the model are calculated in much the same way for Norway as for the Euro area in the previous …

### Forecast comparisons

Both models condition upon the rate of unemployment ut, average labour productivity at, import prices pit, and GDP mainland output yt. In order to investigate the dynamic forecasting properties we …

### The NPCM in Norway

Consider the NPCM (with forward term only) estimated on quarterly Norwegian data[65]: Apt = 1.06 Apt+1 + 0.01 wst + 0.04 Apit + dummies (7.21) (0.11) (0.02) (0.02) x2(10) = …

## Как с нами связаться:

Украина:
г.Александрия
тел./факс +38 05235  77193 Бухгалтерия
+38 050 512 11 94 — гл. инженер-менеджер (продажи всего оборудования)

+38 050 457 13 30 — Рашид - продажи новинок
e-mail: msd@msd.com.ua
Схема проезда к производственному офису:
Схема проезда к МСД

Партнеры МСД

## Контакты для заказов шлакоблочного оборудования:

+38 096 992 9559 Инна (вайбер, вацап, телеграм)
Эл. почта: inna@msd.com.ua

За услуги или товары возможен прием платежей Онпай: Платежи ОнПай