The Demand for M3 in the Euro Area
构建了一个稳定的欧元区M3货币需求模型，发现三个协整关系，并推导出简约的条件误差修正模型，检验了长期和短期参数稳定性。
Abstract In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long‐term and the short‐term nominal interest rates, (ii) the long‐term real interest rate, and (iii) a long‐run demand for broad money M3. There is evidence that the determinants of M3 money demand are weakly exogenous with respect to the long‐run parameters. Hence, following a general‐to‐specific modelling approach, a parsimonious conditional error‐correction model for M3 money demand is derived which can be interpreted economically. For the conditional model, long‐run and short‐run parameter stability is extensively tested and not rejected. Copyright © 2001 John Wiley & Sons, Ltd.