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Divisia monetary aggregates for a heterogeneous euro area

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  • Brill, Maximilian
  • Nautz, Dieter
  • Sieckmann, Lea

Abstract

We introduce a Divisia monetary aggregate for the euro area that accounts for the heterogeneity across member countries both, in terms of interest rates and the decomposition of monetary assets. In most of the euro area countries, the difference between the growth rates of the country-specific Divisia aggregate and its simple sum counterpart is particularly pronounced before recessions. The results obtained from a panel probit model confirm that the divergence between the Divisia and the simple sum aggregate has a significant predictive content for recessions in euro area countries.

Suggested Citation

  • Brill, Maximilian & Nautz, Dieter & Sieckmann, Lea, 2019. "Divisia monetary aggregates for a heterogeneous euro area," Discussion Papers 2019/9, Free University Berlin, School of Business & Economics.
    • Handle: RePEc:zbw:fubsbe:20199
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    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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