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The endogenous money hypothesis and securitization: the Euro area case (1999-2010)

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  • M. Lopreite

Abstract

I examine the endogenous money supply hypothesis in the Euro Area using data from 1999 to 2010. I make extensive use of Vector Autoregression (VAR) models with Granger causality procedure to analyze non-cointegrated series and Vector Error Correction (VEC) models for cointegrated series. The cointegration analyses reveals a bidirectional causality between loans and M1 both in the short and long run whereas loans causes variations in the M2 mainly in the short run. However, according to the Granger causality test there is a one-way causality from loans to M3 but not from loans to industrial production index. The results are confirmed by adjusting the loans series for securitization activity in the Euro Area and partially support the accommodationist view.

Suggested Citation

  • M. Lopreite, 2012. "The endogenous money hypothesis and securitization: the Euro area case (1999-2010)," Economics Department Working Papers 2012-EP02, Department of Economics, Parma University (Italy).
    • Handle: RePEc:par:dipeco:2012-ep02
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    Cited by:

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    2. Marina Yu. Malkina & Igor A. Moiseev, 2020. "Endogeneity of Money Supply in the Russian Economy in the Context of the Monetary Regime Change," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 8-27, June.

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    JEL classification:

    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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