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| Author | : Roberto A. De Santis |
| Publisher | : |
| Total Pages | : 45 |
| Release | : 2012 |
| Genre | : Capital movements |
| ISBN | : |
| Author | : Roberto A. De Santis |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2012 |
| Genre | : Capital movements |
| ISBN | : |
This paper argues that a stable broad money demand for the euro area over the period 1980-2011 can be obtained by modelling cross border international portfolio allocation. As a consequence, model-based excess liquidity measures, namely the difference between actual M3 growth (net of the inflation objective) and the expected money demand trend dynamics, can be useful to predict HICP inflation.
| Author | : Roberto A. De Santis |
| Publisher | : |
| Total Pages | : 62 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
| Author | : |
| Publisher | : |
| Total Pages | : 44 |
| Release | : 2007 |
| Genre | : Demand for money |
| ISBN | : |
| Author | : Katharina Bergant |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2020-02-28 |
| Genre | : Business & Economics |
| ISBN | : 1513529234 |
We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Our empirical analysis shows that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including `closest substitutes', i.e. certain sovereign debt securities issued by non-euro area advanced countries. This rebalancing was particularly strong during the first six quarters of the programme. Our analysis also reveals marked differences across sectors as well as country groups within the euro area, suggesting that quantitative easing has induced heterogeneous portfolio shifts.
| Author | : European Central Bank |
| Publisher | : |
| Total Pages | : 376 |
| Release | : 2002 |
| Genre | : Aktiemarkeder |
| ISBN | : |
| Author | : Zenon Kontolemis G. |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2002-11 |
| Genre | : Business & Economics |
| ISBN | : |
The paper reviews the stability of long-run money demand in the euro area in the light of recent revisions to M3 data. The analysis confirms the existence of a stable long-run money demand, although the estimated equation implies a smaller equilibrium M3 growth than the European Central Bank's reference value of 41⁄2 percent. The stability of long-run money demand does not imply that the market is always in equilibrium. Indeed, it is argued that periods of disequilibrium can be long and adjustment slow. The paper shows that the difference between the low estimated equilibrium growth rate and the actual growth rate for M3 can be explained by a velocity shock, identified here as the sharp fall in equity prices in the last two years. These characteristics of the money market-summarized in the events of the last two years-would call for an alternative approach in the communication of monetary policy developments, essentially putting less emphasis on month-to-month developments in M3.
| Author | : Stephen G. Hall |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2022 |
| Genre | : |
| ISBN | : |
As part of its monetary policy strategy, the European Central Bank has formulated a reference value for M3 growth. A pre-requisite for the use of a reference value for M3 growth is the existence of a stable demand function for that aggregate. However, a large empirical literature has emerged showing that, beginning in 2001, essentially all euro area M3 demand functions have exhibited instability. This paper considers euroarea money demand in the context of the portfolio-balance framework. Our basic premise is that there is a stable demand-for-money function but that the models that have been used until now to estimate euro area money-demand are not well-specified because they do not include a measure of wealth. Using two empirical methodologies - - a co-integrated vector equilibrium correction (VEC) approach and a time-varying coefficient (TVC) approach - - we find that a demand-for-money function that includes wealth is stable. The upshot of our findings is that M3 behaviour continues to provide useful information about medium-term developments on inflation.
| Author | : Alexander Jung |
| Publisher | : |
| Total Pages | : 33 |
| Release | : 2016 |
| Genre | : |
| ISBN | : 9789289921770 |
The aim of the paper is to reassess the issue of money demand stability by estimating a portfolio demand approach for broad money M3 in the euro area covering the sample 1999 to 2013. The question is relevant, since in view of the massive shocks observed since the start of the financial crisis in 2007 relationships may have changed. Overall, the paper finds that the main components of euro area M3 are largely stable and can be explained by fundamental factors such as a transaction variable and opportunity costs. Nevertheless, the analysis detects some instabilities originating from the demand for currency in circulation linked to the euro cash changeover and for marketable instruments in an environment of very low interest rates.
| Author | : |
| Publisher | : |
| Total Pages | : 33 |
| Release | : 2016 |
| Genre | : |
| ISBN | : 9789289921770 |
The aim of the paper is to reassess the issue of money demand stability by estimating a portfolio demand approach for broad money M3 in the euro area covering the sample 1999 to 2013. The question is relevant, since in view of the massive shocks observed since the start of the financial crisis in 2007 relationships may have changed. Overall, the paper finds that the main components of euro area M3 are largely stable and can be explained by fundamental factors such as a transaction variable and opportunity costs. Nevertheless, the analysis detects some instabilities originating from the demand for currency in circulation linked to the euro cash changeover and for marketable instruments in an environment of very low interest rates.
