ISBN: 3790800643
TITLE: Money Demand in Europe
AUTHOR: Mller
TOC:

1 Introduction 1
2 Economic and Econometric Concepts 5
2.1 Introduction 5
2.2 Economics of the Demand for Money 6
2.2.1 A Specific-to-General Approach 6
2.2.2 Economic Theory and Implications for Empirical Applications 11
2.3 System Analysis of Money Demand Functions 13
2.3.1 Choice of Variables 13
2.3.2 The Statistical Model, the Long- and Short-run 16
2.3.3 Economic Relationships & Cointegration Hypotheses 21
2.3.4 Efficient Estimation and Weak Exogeneity 27
2.3.5 Identification Issues 31
2.4 Summary: Econometric Analysis and Economic Interpretation 35
3 Unit Root Tests for Time Series with a Structural Break 39
3.1 Introduction 39
3.2 Models for Time Series with Level Shifts 41
3.2.1 Estimation of Nuisance Parameters 43
3.3 The Test Statistics 46
3.4 Flexible Shifts, Computational Issues and Extensions 48
3.4.1 Model Checking 51
3.4.2 Extensions 52
3.5 Examples 54
3.5.1 Data Description 55
3.5.2 Estimation of the Break Points 56
3.5.3 Graphical Analysis 58
3.5.4 Test Statistics and Test Decisions 63
3.6 Conclusions 69
3.A Figures 72
4 Monetary Policy in France Prior to European Monetary Union 85
4.1 Introduction 85
4.2 Preparing for the Euro: Implications for Money Demand Analysis 86

4.2.1 Brief Summary of the Events 87
4.2.2 An Economic Point of View 88
4.2.3 A Small Econometric Study 93
4.2.4 Comparison of Two Econometric Models of the CIP 103
4.2.5 CIP Analysis: Concluding Remarks 108
4.3 Money Supply in France Prior to EMU 112
4.3.1 On French Money Demand 112
4.3.2 Data and Model 114
4.3.3 Estimation of the Long-run Parameters 117
4.3.4 Determination of the Cointegration Matrix 124
4.3.5 Stability Analysis 130
4.3.6 Comparing Model Alternatives 141
4.3.7 Economic Interpretation 153
4.4 Summary and Conclusion 161
4.A Data, Tables and Figures 163
5 Money Demand in Europe: Evidence from the Past 171
5.1 Introduction 171
5.2 Preliminary Considerations 172
5.2.1 Problems Related to Aggregation 173
5.2.2 Interpretation Problems 174
5.3 Constructing European Data 178
5.4 Cointegration Analysis 181
5.4.1 Uni-variate and Multi-variate Data Properties 182
5.4.2 Identification of Cointegration Vectors 190
5.4.3 Properties of the Long-run Dynamics in the System 197
5.4.4 A General Comparison of Two Alternative Models 201
5.4.5 Interpretation of the Long-run Relationships 208
5.5 Conclusions 211
5.A Appendix: Tables, Figures and the Data 213
6 Summary and Outlooks 221
List of Tables 225
List of Figures 229
References 231
END
