Survey_Beyer_2009

Abstract

For the estimation of our money demand system we use the same variables as in CGL and - except the long-run interest rate- as in BDW, albeit with a much longer extended sample. And we introduce housing wealth into the information set. At the time when we developed the model data for wealth was available just until 2007Q4. However, we will use preliminary data for wealth and GDP until 2008Q4 to check what impact the nancial and economic crisis that started in 2007 had in particular for the stability properties of the money demand model. Hence, we start with a system of quarterly data from 1980Q1 until 2007Q4 for money, output, prices, housing wealth and interest rates in the Euro area and we assume that these variables form the following process {[w} = {(p s)w> |w> {zkk> {4sw> UVw> URw} = Lower case letters denote variables in logs where (p s) represents the log of real money stock M3, | is log of real output, {zkk is growth in nominal housing wealth, {4s is the annual in ation rate, UV is the annualized short-term three month money market interest rate, and UR is the annualized own rate of M3. Apart from the interest rates all data are seasonally adjusted.