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Divisia monetary aggregates for a heterogeneous euro area

Author

Listed:
  • Maximilian C. Brill

    (University of Antwerp)

  • Dieter Nautz

    (Freie Universität Berlin)

  • Lea Sieckmann

    (Freie Universität Berlin)

Abstract

Since the run-up to the great recession, there has been a significant degree of heterogeneity across euro area countries both in terms of interest rates and in the composition of monetary assets. In order to account for the heterogeneity of monetary assets within and across member countries, we propose a Divisia monetary aggregate for the euro area. In line with earlier evidence obtained for the United States, our results from a panel probit analysis show that the divergence between the Divisia and the simple sum aggregate has a significant predictive content for recessions in euro area countries.

Suggested Citation

  • Maximilian C. Brill & Dieter Nautz & Lea Sieckmann, 2021. "Divisia monetary aggregates for a heterogeneous euro area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(1), pages 247-278, February.
    • Handle: RePEc:kap:empiri:v:48:y:2021:i:1:d:10.1007_s10663-020-09487-1
    DOI: 10.1007/s10663-020-09487-1
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    Cited by:

    1. Fleissig, Adrian R. & Jones, Barry E., 2023. "U.K. household-sector money demand during Brexit and the pandemic," Economic Modelling, Elsevier, vol. 123(C).

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    More about this item

    Keywords

    Monetary aggregation; Euro area Divisia aggregate; Recessions;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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