@techreport{afd755535c22446093e052245e270d56,
title = "Monetary dynamics in the euro area: a disaggregate panel approach",
abstract = "In this paper, we use panel cointegration estimation to analyze the determinants of heterogeneous monetary dynamics in ten euro area member countries over the period 1999-2013. In particular, we investigate the role of real house prices, real equity prices and cross border bank credit. For the period up till 2008 we find a significantly positive income effect, a significantly negative interest rate effect, a significantly negative effect of net foreign credit and a significantly positive housing price effect. Inclusion of the financial crisis shows evidence of a structural break in money demand and some sign reversals, most significantly so for the interest rate effect. Finally, we find evidence of a divide in the long-term money demand relation between the Northern and Southern parts of the euro area, potentially complicating monetary policy.",
keywords = "money demand stability, structural breaks, panel cointegration, DOLS, asset prices, net foreign credit",
author = "J. Liu and C.J.M. Kool",
year = "2017",
month = sep,
language = "English",
series = "U.S.E. Discussion paper series",
publisher = "UU USE Tjalling C. Koopmans Research Institute",
number = "14",
type = "WorkingPaper",
institution = "UU USE Tjalling C. Koopmans Research Institute",
}