Euro Area Money Demand Measuring the Opportunity Costs Appropriately

摘要: The existence of a well-specified and stable relationship between money prices has long been perceived as prerequisite for the use monetary aggregates in conduct policy. This paper contributes to ongoing discussion about stability euro area demand by constructing an own rate return on M3 analyzing its implications standard system. Over sample period, one cointegrating vector relating real M3, GDP spread short-term interest can be identified interpreted long-run equation. A dynamic system is subsequently estimated. Standard diagnostics tests out-of-sample forecasts confirm good statistical performance model.