TY  - UNPD
A1  - Assenmacher-Wesche, Katrin
A1  - Beyer, Andreas
T1  - A cointegration model of money and wealth
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 619
N2  - Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy measures, we find that the money demand and the real wealth relations identified in Beyer (2009) have remained remarkably stable throughout the extended sample period. Testing for price homogeneity in the I(2) model we find that the nominal-to-real transformation is not rejected for the money relation whereas the wealth relation cannot be expressed in real terms.
T3  - CFS working paper series - 619 
KW  - Money demand
KW  - wealth
KW  - cointegration
KW  - vector error correction model
KW  - I(2) analysis
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/48056
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-480560
UR  - https://ssrn.com/abstract=3339569
IS  - August 7, 2018
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -