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Econometric Modelling of European Money Demand

Aggregation, Cointegration, Identification

  • Engelbert Plassmann

Part of the Contributions to Economics book series (CE)

Table of contents

  1. Front Matter
    Pages I-X
  2. Engelbert Plassmann
    Pages 1-9
  3. Engelbert Plassmann
    Pages 11-28
  4. Engelbert Plassmann
    Pages 29-59
  5. Engelbert Plassmann
    Pages 61-79
  6. Engelbert Plassmann
    Pages 81-112
  7. Engelbert Plassmann
    Pages 113-161
  8. Engelbert Plassmann
    Pages 163-169
  9. Back Matter
    Pages 171-206

About this book

Introduction

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 topic dealt with in this book. The basic theoretical ingredients comprise a data-driven approach to econometric modelling and a generalized approach to cross-sectional aggregation. The empirical result is a data-consistent structural money demand function isolated within a properly identified, dynamic macroeconomic system for Europe. The book itself evolved from a research project within the former Son­ derforschungsbereich SFB 178 "Internationalization of the Economy" at the University of Konstanz. Its finalization entails a due amount of gratitude to be extended into several directions: I am personally indebted, first of all, to my academic supervisor, Professor Dr. Nikolaus Laufer, for originally inspiring this work and for meticulously perusing its eventual result. Professor Dr. Win fried Pohlmeier, as a second supervisor, provided valuable confidence bounds around an earlier draft. The comments of both supervisors contributed substantially to the present shape of the book. I am institutionally indebted to the University of Konstanz, notably its Faculty of Economics and Statistics, for continuous provision of an excellent research environment, and to the Deutsche Forschungsgemeinschaft in Bonn for generous sponsorship of the former SFB, whose financial support dur­ ing that period is gratefully acknowledged. I am also indebted to Dresdner Bank AG Frankfurt, Risk Methodology Trading, for benign tolerance of all distractions associated with the preparation of the final manuscript.

Keywords

Cross-sectional Aggregation Econometric Modelling International Monetary Policy Money Demand Multivariate Cointegration Analysis Structural Error-Correction Models modeling

Authors and affiliations

  • Engelbert Plassmann
    • 1
  1. 1.RCO RMTDresdner BankFrankfurt/M.Germany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-57336-1
  • Copyright Information Physica-Verlag Heidelberg 2003
  • Publisher Name Physica, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-7908-1522-1
  • Online ISBN 978-3-642-57336-1
  • Series Print ISSN 1431-1933
  • Buy this book on publisher's site
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