A Money Demand System for German M3

Posted: 29 Sep 1998

See all articles by Helmut Luetkepohl

Helmut Luetkepohl

European University Institute; CESifo (Center for Economic Studies and Ifo Institute)

Jürgen Wolters

Free University of Berlin (FUB)

Abstract

A small macroeconomic model is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest rate spread variable to represent opportunity costs of holding money. Furthermore, import price inflation is added as an exogenous variable. The model is used to analyze the relation between money growth and inflation by means of an impulse response analysis.

JEL Classification: C32, E52, E41

Suggested Citation

Luetkepohl, Helmut and Wolters, Jürgen, A Money Demand System for German M3. Available at SSRN: https://ssrn.com/abstract=123495

Helmut Luetkepohl (Contact Author)

European University Institute ( email )

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Italy
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CESifo (Center for Economic Studies and Ifo Institute)

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Munich, DE-81679
Germany

Jürgen Wolters

Free University of Berlin (FUB) ( email )

Van't-Hoff-Str. 8
D-10785 Berlin, Berlin 14195
Germany
+49-30-838-2014 (Phone)
+49-30-838-4142 (Fax)

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