Review of World Economics

, Volume 136, Issue 4, pp 680–701 | Cite as

An econometric analysis of the main components of M3 in the Euro area

  • Alessandro Calza
  • Alexander Jung
  • Livio Stracca


An Econometric Analysis of the Main Components of M3 in the Euro Area. — The main result is that the four components of M3 in the euro area can be explained in terms of a small set of explanatory variables (nominal GDP and interest rates) for the sample period January 1990 — September 1999 both in terms of levels and as shares of M3. Moreover, overall cointegration tests broadly support the hypothesis of long-run stability of the demand for the components of M3 and for M3 itself in nominal terms. Around the start of Stage Three of Monetary Union significant substitution between the components of M3 is detected. A refinement of the empirical analysis takes into account the correlation of the unexplained movements of the individual components using the SUR technique.

C22 C32 E41 


Eine ökonometrische Analyse der Hauptkomponenten von M3 in Euroland. — Das Hauptergebnis ist, dass die vier Komponenten von M3 in Euroland mit nur wenigen Variablen (nominales Bruttoinlandsprodukt und ZinssÄtze) für die Zeit zwischen Januar 1990 und September 1999 erklÄrt werden können, und zwar als Niveaugrö\en und Anteile von M3. überdies bestÄtigen Kointegrationstest grö\tenteils die Hypothese, dass die Nachfrage nach den Komponenten von M3 und nach M3 selbst in nominalen Grö\en langfristig stabil ist. Um den Beginn von Stufe Drei der WÄhrungsunion gab es signifikante Substitutionen zwischen den Komponenten von M3. Die empirische Analyse wird verfeinert, indem die Korrelation der unerklÄrten Bewegungen der individuellen Komponenten berücksichtigt wird und die Substitution der einzelnen Komponenten direkt modelliert wird.


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© Institut fur Weltwirtschaft an der Universitat Kiel 2000

Authors and Affiliations

  • Alessandro Calza
  • Alexander Jung
  • Livio Stracca

There are no affiliations available

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