Econometric Modelling of European Money Demand : Aggregation, Cointegration, Identification /
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 problem dealt with in this book. Its basic theoretical...
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| Format: | eBook |
| Language: | English |
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Heidelberg :
Physica-Verlag HD : Imprint : Physica,
2003.
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| Series: | Contributions to economics.
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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 problem dealt with in this book. Its basic theoretical ingredients comprise a data-driven approach to econometric modelling and a generalized approach to cross-sectional aggregation. The resulting econometric model systematically combines statistical and economic theory by extending a cointegrated VAR into a structural ECM. The empirical outcome is a data-consistent causal money demand function, isolated within a properly identified dynamic macroeconomic system for Europe. |
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| Item Description: | Electronic resource. |
| Physical Description: | 1 online resource (x, 204 pages 16 illustrations) |
| ISBN: | 9783642573361 (electronic bk.) 3642573363 (electronic bk.) |
| ISSN: | 1431-1933 |