Econometric modelling of European money demand
aggregation, cointegration, identification
- ISBN: 9783790815221
- Editorial: Physica-Verlag Gmbh.
- Fecha de la edición: 2003
- Lugar de la edición: Heidelberg. Alemania
- Colección: Contributions to economics
- Encuadernación: Rústica
- Medidas: 23 cm
- Nº Pág.: 204
- Idiomas: Español
The introduction of a single European currency constitutes a remarkable instance of internationalization of monetary policy. Whether a concomitant internationalization can be detected also in the econometric foundations of monetary policy is the problem dealt with in this book. Its basic theoretical ingredients comprise a data-driven approach to econometric modelling and a generalized approach to cross-sectional aggregation. The resulting econometric model systematically combines statistical and economic theory by extending a cointegrated VAR into a structural ECM. The empirical outcome is a data-consistent causal money demand function, isolated within a properly identified dynamic macroeconomic system for Europe. Contents: Introduction.- Econometric Modelling.- Autoregressive Probability Models.- Structural ECM Models.- Aggregation.Empirical Money Demand.- Technical Appendix
With 16 figures and 24 tables