The Behavior of the Components of M3 in the Euro Area: 1999-2014

Abstract

In this paper, the evolution of the various components of the broad monetary aggregate M3 at which the ECB attaches leading indicator properties of inflation expectations in the euro area is studied. During the fifteen years that the ECB defines and executes the stability-oriented monetary policy, M3 has not followed the developments that initially would be compatible with the inflation target announced. For its part, the components of the aggregate, in terms of their participation in it, have followed different paths. In this paper, an analysis of stationarity and cointegration of the series is done. The causes of such behavior in the light of the evolution of prices, interest rates and economic growth are searched, using dummy variables for periods of greater instability in the financial markets. We employ the Dynamic Ordinary Least Square (DOLS) estimator, augmenting the estimated relation with lead and lag differences of the explanatory variables to control for endogeneity and serial correlation of the regressors.

Análisis de Estabilidad en el Modelo de Cartera de la Demanda de Dinero en la Eurozona: 1999-2023

“…Algunos trabajos enfatizan la importancia que tiene la disponibilidad de la información precisa contenida en los agregados monetarios en una estrategia de política monetaria orientada a la estabilidad de precios (BCE, 1999a;Papademos y Stark, 2010;Masuch, Nicoletti-Altamari. Rostagno y Pill, 2003;Pateiro-Rodríguez, Barros, Varela y Pateiro-López, 2016). Al propio tiempo, el análisis de los modelos de demanda de dinero permite disponer a la autoridad monetaria de un marco capaz de mostrar las relaciones entre la evolución monetaria y las variables macroeconómicas determinantes que le permitan explicar los procesos de sustitución dentro del propio agregado, entre los que destaca una tendencia a la preferencia creciente por los activos más líquidos, excepto en los últimos 12 meses del periodo analizado.…”

“…Algunos trabajos inciden en este aspecto de M3. Entre otros,Calza, Jung y Stracca (2000),Jung (2015),Pateiro et al (2016) y Pateiro-Rodríguez, Freire, López y Pateiro-López (2020).Los trabajos de investigación sobre la demanda de dinero en US son muy numerosos, si bien se centran en el estudio de M2(Duca y VanHoose, 2004). Los trabajos sobre el agregado M2 en la EA son escasos(Rynard, 2007).…”

Phillips Curve: The Greek Case

“…Moreover, the ECB could take on the crucial role as a lender of last resort in order to reduce the economic fragility of the eurozone (De Grauwe 2012) and place equal emphasis on the inflation objective compared with the financial stability objective (De Grauwe and Gros 2009), since the contractionary monetary policy followed by the ECB ignited the economic crisis (Jensen 2016). Furthermore, there was a deviation between the monetary policy goals and the developments in prices, interest rates and economic growth (Rodríguez et al 2016). Finally, enhanced forms of forward guidance, which comprise negative policy rates, a large asset purchase programme and targeted long-term loans to banks, could help the EMU to halt persistent disinflation in the post-crisis era (Rostagno et al 2019), while unconventional monetary policy measures are effective in mitigating the downside risks to price stability (Ciccarelli and Osbat 2017).…”

Análisis de la tendencia a la liquidez del agregado monetario M3 en la eurozona: 1997-2018

“…La literatura sobre el análisis de los siete componentes del M3 y sobre la participación de cada uno de ellos, individualmente o agrupados convenien-temente, tampoco es abundante. Algunos trabajos inciden en este aspecto del M3, entre otros, Calza, Jung y Stracca (2000), Jung (2015) y Pateiro-Rodríguez et al (2016).…”