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Issues in Money Demand: The Case of Europe

Klaus Zimmermann. James D. Aman Ullah. Steven Durlauf. Robin W. Helmut Luetkepohl.

A cointegration analysis of a money demand system in Europe

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Money Demand in Europe. Description In a number of member states of the European Union will adopt a common currency. This change in the monetary system requires that a Eur- opean Central Bank is set up and a common monetary policy is pursued. There is general agreement among those countries which are likely to join the common currency that price level stability has to be the ultimate objec- tive of monetary po1icy.

It is an open issue, however, what kind of policy is best suited for that purpose. The alternative strategies under discussion are a direct inflation targeting, an intermediate monetary targeting or a mixture of both. For these policy strategies a stable money demand relation is of cen- tral importance.

This research conference brought together academic and central bank econo- mists and econometricians predominantly from Europe to discuss issues on specification, estimation and, in particular, stability of money demand rela- tions both in a single equation and in a systems framework. In this volume revised versions of the papers presented and discussed at the workshop are collected.

The volume thereby gives an overview of money demand analysis in Europe on the eve of the introduction of the Euro in some European countries. It contributes to the discussion on a suitable monetary policy for the new European Central Bank. For example, Fase and Winder and Fase compute European Divisia monetary indexes 2 for different groups of countries in the European Union and find that European money demand is fairly stable.

A similar result is obtained by Monticelli and Papi , who construct a currency-equivalent index proposed by Rotemberg, Driscoll, and Poterba Both studies construct indexes by using the direct and the indirect methods. In the indirect method, an index is constructed for each country, and the European aggregate is taken to be the average of the national indexes. In the direct method, the components are added across countries, and weighted averages of national interest rates are used to obtain the user cost for each component.

A cointegration analysis of a money demand system in Europe

Neither approach is strictly consistent with aggregation theory, because aggregation by averaging national Divisia implicitly assumes perfect substitutability across indexes, and the summation of monetary assets across countries requires that assets, denominated in different currencies, be perfect substitutes. Aggregation over different national moneys should employ appropriate methods.

The main contribution of this paper is to apply the aggregation theoretic framework consistently to money holdings of European residents. The second derives a European Divisia index. In the third, the Divisia index and a simple-sum measure of European money are compared and analyzed. Most writers define money according to the functions it performs. It has, however, become commonplace for monetary aggregates to include financial assets that are not mutually exchangeable. The idea in the aggregation approach is to extract the store-of-value function from all financial assets, so that what remains are the "monetary services" for the assets.

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In addition, instead of simply adding such assets together, as it is done in simple-sum aggregation, the theoretical approach of aggregation creates an index of monetary services that has microeconomic foundations. While conventional monetary aggregates are derived in a simple accounting procedure from the banking sector's balance sheet, the theoretical approach, or Divisia index, is based on the optimizing behavior of economic agents. An unknown error has occurred.